Dark Pools: Off-Exchange Liquidity in an Era of High - download pdf or read online

By Erik Banks (auth.)

ISBN-10: 1137449578

ISBN-13: 9781137449573

ISBN-10: 1349496820

ISBN-13: 9781349496822

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Extra info for Dark Pools: Off-Exchange Liquidity in an Era of High Frequency, Program, and Algorithmic Trading

Example text

Has been a clear leader in the equity dark pool sector, running several years ahead of European markets, and perhaps a decade ahead of the Asian markets. S. markets feature very strong representation in terms of exchanges with dark mechanisms (to wit, NYSE, NASDAQ, BATS, and others), ECNs/ELOBs, and crossing networks (described in Chapter 3). S. featured more than 40 venues partly or wholly dedicated to the provision of dark liquidity; this figure increased to 45 in 2013. S. is also home to banks and broker/dealers which operate dark internalizers, with dozens in operation in 2013.

Specifically, we can define the following: • • • • • Bid: the price at which one party will buy a security Offer: the price at which one party will sell a security Best bid: the highest bid price in the market at any time Best offer: the lowest offer price in the market at any time Inside spread: the difference between the best bid and best offer We will reference these terminologies at various points in the book. Market orders A market order is an order to buy or sell a specific number of securities at the current available market price.

And European firms. Pan-Asian cross market efforts which can handle stocks from multiple countries have also developed through ventures such as TORA Trading and BlocSec, among others. Another promising structural approach centers on dark aggregation, the de facto linking of pools that support trading in individual national markets. For instance, well-established venues such as Instinet and ITG have created linkages between regional dark pools that are effectively broker-dealer internalizers (rather than MTFs).

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Dark Pools: Off-Exchange Liquidity in an Era of High Frequency, Program, and Algorithmic Trading by Erik Banks (auth.)


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