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13 May Posted by in Market Microstructure | Comments Off on Impact of Size

Impact of Size

Impact of Size

  Even if  your not an institution, there may come a point where the size of your trades impacts the price you receive.  What size threshold behooves you to recognize (ala Heisenberg), that your interaction (interference) with the market, changes the market? In order to cleverly adjust order entry for optimal fills, market microstructure assessment is essential. […]