Themis Trading Blog

New SEC Data Proves What We Already Knew: Small Cap Spreads Are Wide and Liquidity Is Scarce

25

Sep, 2014

spread

The SEC has just published a data-driven study on spreads and liquidity titled “A Characterization of Market Quality For Small Capitalization US Equities” .  Most of you who trade regularly will not be surprised to learn that the study finds that spreads are wide and liquidity is scarce in most small cap stocks.

A few things about the study before we get into the results:

- The SEC used MIDAS data collected from the exchanges for all of 2013.

- The data is time stamped to the microsecond and covers 2814 stocks with market cap of $5 billion or less.

Now…
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Order Type Madness Part CXXIII – Thanks Bloomberg!

24

Sep, 2014

bloomberg

 

 

Exchange order types. The Wall Street Journal wrote about them two years ago (For Superfast Stock Traders, a Way to Jump Ahead in Line). We have spoken about them for years, and especially in our book Broken Markets. Of course we also spoke about them on many industry panels and in our morning notes to you. All in, we have several dozen morning notes to you all that discuss stock exchange complex order types. From memory lane:

In this post, Cutting the Line and Order Types, we wrote to…
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Hi Manoj!

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