Field Testing Changes in Market Microstructure
Field Testing Changes in Market Microstructure
Co-Head of Global Electronic Trading
Eric joined BMO in 2020 and has been responsible for BMO’s electronic trading institutional quantitative strategy globally. A thought-leader and industry vete…
Eric joined BMO in 2020 and has been responsible for BMO’s electronic trading institutional quantitative strategy globally. A thought-leader and industry vete…
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At BMO, we test venue and order type innovations with small-scale experiments, permutating our order routing to incorporate these new offerings and measure results. It’s a prudent balance of risk and reward for these new trading tactics, but that prudence can also make discerning an aggregate effect on performance difficult.
While early stage tests are useful in measuring the marginal impact of a new order type or venue, effects can be diluted by the existing venues and order types in an algorithm. One way to speed up the learning cycle is to run a more concentrated and focused experiment, but that works best with support and collaboration from an asset manager.
Teaming up with OMERS’ Equity Trading Principal Rob Gouley, we ran a joint experiment with an algorithm that would help us isolate and evaluate the impact of D-Limit. CASE STUDY: Field Testing Changes in Market Microstructure