Market Structure Matters.™

Research

Our research effort is focused on the impact of high frequency trading (HFT) upon the US equities markets, with particular attention focused upon HFT scalping strategies, regulatory arbitrage, special order types, exchange order matching engine practices, and the adverse impact of HFT-oriented market venues upon institutional investors.

We provide summary-level white papers to the market structure community at no cost. We also offer premium research products that are designed to meet the needs of sophisticated institutions.

White Papers

The following white papers provide an introduction to topics more extensively covered in our seminars and forthcoming premium research products.


Locked Markets, Priority and Why HFTs Have an Advantage - Part 1: Spam & Cancel

An introduction to exchange price sliding features that HFT scalping strategies use for "spam & cancel" techniques in order to contend with Rule 610 of Regulation NMS which bans locked markets. This paper originally appeared as an article on the Tabb Forum.

link: Locked Markets, Priority and Why HFTs Have an Advantage - Part I: Spam & Cancel


Locked Markets, Priority and Why HFTs Have an Advantage - Part 2: Hide & Light

An introduction to special order types that "hide and light" which HFT scalping strategies leverage as a clever work-around in order to contend with Rule 610 of Regulation NMS which bans locked markets. This paper originally appeared as an article on the Tabb Forum.

link: Locked Markets, Priority and Why HFTs Have an Advantage - Part 2: Hide & Light


Locked Markets, Priority and Why HFTs Have an Advantage - Part 3: Intermarket Sweep Orders

An introduction to Intermarket Sweep Orders (ISOs) which HFTs leverage to get ahead of slow Stock Information Processor (SIP) feeds. This paper originally appeared as an article on the Tabb Forum.

link: Locked Markets, Priority and Why HFTs Have an Advantage - Part 3: Intermarket Sweep Orders


Locked Markets, Priority and Why HFTs Have an Advantage - Part 4: DAY ISOs

An introduction to DAY ISOs which HFTs leverage to post aggressively ahead of most other order types, including orders that "hide and light." This paper originally appeared as an article on the Tabb Forum.

link: Locked Markets, Priority and Why HFTs Have an Advantage - Part 4: DAY ISOs


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