BONDSTATS REFERENCE LIBRARY
Market Microstructure Encyclopedia
Trading, liquidity, execution and price formation explained.
A structured reference to the mechanics underneath market prices. The encyclopedia covers order handling, dealer intermediation, trading venues, liquidity, transaction costs, electronic trading, post-trade workflows and fixed-income execution. Entries are written as market-structure references rather than trading recommendations.
239 ENTRIES11 CATEGORIESDEDICATED SEO REFERENCE LIBRARY
A–Z MARKET MECHANICS
001
Order Flow
Orders & Execution
The sequence and direction of buy and sell instructions reaching a market or dealer network over time.
002
Order Imbalance
Orders & Execution
A condition in which executable buying interest and selling interest are materially uneven at a given price or over a given interval.
003
Depth at Best
Liquidity & Transaction Costs
The quantity available at the current best bid and best ask, rather than across the full order book.
004
Top-of-Book Liquidity
Liquidity & Transaction Costs
Immediately executable liquidity displayed at the best quoted bid and ask.
005
Order Book
Orders & Execution
A record of outstanding buy and sell interest organized by price, size and, depending on the venue, priority.
006
Order Book Resiliency
Orders & Execution
The speed and extent to which quoted depth replenishes after trades or cancellations consume liquidity.
007
Liquidity Resiliency
Liquidity & Transaction Costs
The ability of market liquidity to recover after an order-flow shock, large trade or temporary dislocation.
008
Market Resiliency
Liquidity & Transaction Costs
The capacity of prices, spreads and depth to normalize after a disturbance.
009
Price Impact
Liquidity & Transaction Costs
The change in market price associated with executing an order or a sequence of orders.
010
Temporary Price Impact
Liquidity & Transaction Costs
The portion of an execution-related price move that subsequently reverses as liquidity replenishes.
011
Permanent Price Impact
Liquidity & Transaction Costs
The portion of an execution-related price move that persists because the trade conveys information or changes perceived value.
012
Market Impact
Liquidity & Transaction Costs
The total effect an order has on the prices available during and after execution.
013
Slippage
Liquidity & Transaction Costs
The difference between an expected or reference execution price and the price actually obtained.
014
Effective Spread
Liquidity & Transaction Costs
A transaction-cost measure comparing the execution price with the prevailing midpoint, usually expressed as twice the absolute deviation from that midpoint.
015
Realized Spread
Liquidity & Transaction Costs
The dealer or liquidity-provider spread measured after allowing time for the market price to move following a trade.
016
Quoted Spread
Liquidity & Transaction Costs
The difference between the displayed best ask and best bid.
017
Liquidity Provider
Liquidity & Transaction Costs
A participant that supplies executable buying or selling interest to the market.
018
Liquidity Taker
Liquidity & Transaction Costs
A participant that executes against liquidity already quoted or made available by another participant.
019
Market Maker
Market Structure
A participant that regularly quotes prices at which it is willing to buy and sell, facilitating immediacy for other traders.
020
Designated Market Maker
Market Structure
A market maker with formal obligations or privileges assigned by a trading venue for specified instruments.
021
Dealer
Dealer & OTC Markets
A financial intermediary that trades as principal, using its own balance sheet to buy from or sell to clients or other dealers.
022
Dealer Market
Dealer & OTC Markets
A market in which participants commonly trade against dealer quotations rather than interacting only through a central order book.
023
Dealer-to-Client Market
Dealer & OTC Markets
The segment of a dealer market in which institutional or other end clients transact with dealers.
024
Dealer-to-Dealer Market
Dealer & OTC Markets
Trading between dealers, often used to redistribute inventory and manage risk after client transactions.
025
Interdealer Market
Dealer & OTC Markets
A market segment in which dealers and other professional liquidity providers trade with one another.
026
Interdealer Broker
Dealer & OTC Markets
An intermediary that facilitates transactions among dealers, traditionally by voice and increasingly through electronic platforms.
027
Principal Trading
Dealer & OTC Markets
Trading in which a firm buys or sells for its own account and assumes the resulting market risk.
028
Agency Trading
Dealer & OTC Markets
Execution in which an intermediary acts on behalf of a client rather than taking the opposite side as principal.
029
Riskless Principal Trading
Dealer & OTC Markets
A transaction structure in which a dealer executes offsetting principal trades designed to transfer a client order without intentionally retaining market exposure.
030
All-to-All Trading
Dealer & OTC Markets
An electronic market structure that permits a broader set of participants to trade directly with one another rather than routing every transaction through traditional dealers.
031
Request for Quote
Dealer & OTC Markets
An execution protocol in which a participant asks one or more dealers or liquidity providers to quote a price for a specified trade.
032
Request for Market
Dealer & OTC Markets
An execution request that asks for two-sided pricing, typically without first revealing the intended buy or sell direction.
033
Request for Stream
Dealer & OTC Markets
A protocol in which a client asks a dealer or venue for continuously refreshed executable or indicative pricing for a period of time.
034
Streaming Quote
Dealer & OTC Markets
A continuously updated bid, offer or two-way price transmitted electronically to a client or venue.
035
Voice Trading
Dealer & OTC Markets
Trading negotiated through direct human communication, commonly by telephone or messaging, rather than fully automated electronic matching.
036
Electronic Trading
Dealer & OTC Markets
Trading in which pricing, order communication, execution or matching is performed through electronic systems.
037
Hybrid Trading
Dealer & OTC Markets
A market structure combining electronic execution with dealer, voice or other human-intermediated workflows.
038
Crossing Network
Market Design & Venues
A system that matches compatible buy and sell interest, often at a reference price and without displaying a conventional public order book.
039
Internalization
Market Design & Venues
The execution of client order flow within a dealer, broker or affiliated system rather than routing the order to an external venue.
040
Systematic Internaliser
Market Structure
Under European market rules, an investment firm that deals on own account by executing client orders outside a regulated market, MTF or OTF on an organized, frequent, systematic and substantial basis.
041
Alternative Trading System
Market Design & Venues
A non-exchange trading venue that brings together buyers and sellers under a defined electronic or rules-based framework, subject to the applicable jurisdiction.
042
Multilateral Trading Facility
Market Design & Venues
A European multilateral trading system that brings together multiple third-party buying and selling interests according to non-discretionary rules.
043
Organized Trading Facility
Market Design & Venues
A European multilateral venue category, primarily for non-equity instruments, where the operator has discretion over how client interests interact within regulatory limits.
044
Execution Venue
Orders & Execution
Execution Venue is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
045
Trading Venue
Market Design & Venues
Trading Venue is a trading protocol or market practice that defines how participants communicate interest, obtain prices and complete transactions.
046
Dark Pool
Market Design & Venues
A trading venue or mechanism in which resting orders are not fully displayed to the public before execution.
047
Lit Market
Market Design & Venues
A market or venue where actionable quotes or order-book interest are displayed before trades occur.
048
Off-Exchange Trading
Market Design & Venues
Off-Exchange Trading is a trading protocol or market practice that defines how participants communicate interest, obtain prices and complete transactions.
049
Over-the-Counter Trading
Market Structure
Bilateral or dealer-mediated trading conducted outside a centralized exchange order book.
050
Block Trade
Market Structure
A transaction large enough to be treated differently from ordinary market-size trading because immediate execution can materially affect price or liquidity.
051
Portfolio Trade
Market Structure
A simultaneous or coordinated transaction involving a basket of bonds or other securities priced and executed as a portfolio.
052
Program Trading
Market Structure
The coordinated execution of a group of securities, often using automated rules or algorithms.
053
Basket Trading
Market Structure
Trading a group of instruments as a defined basket rather than executing each position independently.
054
Odd Lot
Market Design & Venues
A trade or order smaller than the market's standard round-lot convention.
055
Round Lot
Market Design & Venues
The standardized unit traditionally used for quoting or defining normal trade size in a market.
056
Lot Size
Market Design & Venues
The standardized or permitted quantity increment in which an instrument can be ordered or traded.
057
Minimum Price Increment
Market Structure
The smallest price movement a venue or market convention permits for an instrument.
058
Tick Size
Market Design & Venues
The minimum permitted change between adjacent quoted prices.
059
Tick Size Regime
Market Design & Venues
The rules determining the minimum price increment for different instruments, prices or liquidity bands.
060
Price-Time Priority
Market Structure
A matching rule that gives better prices priority and, at the same price, executes earlier orders before later ones.
061
Time Priority
Market Structure
A rule under which earlier orders receive execution priority over later orders at the same price.
062
Pro-Rata Matching
Market Design & Venues
A matching method that allocates incoming executable quantity among resting orders in proportion to their displayed size rather than strictly by time.
063
Queue Priority
Market Design & Venues
The rules that determine the order in which resting liquidity at the same price receives executions.
064
Queue Position
Market Design & Venues
An order's place within the execution queue at a given price level.
065
Matching Engine
Market Design & Venues
The venue technology that compares incoming orders with resting interest and determines executions according to the venue's rules.
066
Matching Algorithm
Market Design & Venues
The rule set used by a trading system to decide which compatible orders trade and in what quantity.
067
Continuous Trading
Market Design & Venues
Continuous Trading is a trading protocol or market practice that defines how participants communicate interest, obtain prices and complete transactions.
068
Call Auction
Market Design & Venues
A trading mechanism that collects orders for a period and then determines a single clearing price intended to maximize executable volume.
069
Opening Auction
Market Design & Venues
A call-auction process used to establish an opening price and execute accumulated interest at the start of a trading session.
070
Closing Auction
Market Design & Venues
A call-auction process used to determine an official or reference closing price and match accumulated end-of-session interest.
071
Batch Auction
Market Design & Venues
A mechanism that groups orders and executes them together at discrete times rather than continuously.
072
Periodic Auction
Market Design & Venues
Periodic Auction is an auction-based market mechanism that concentrates trading interest at a defined event or interval to determine an executable clearing price.
073
Frequent Batch Auction
Market Design & Venues
A market design that runs short, repeated auctions to reduce the importance of tiny speed advantages in continuous trading.
074
Market-on-Close Order
Orders & Execution
Market-on-Close Order is an order instruction that modifies when, where or under what conditions a trading instruction may execute.
075
Limit-on-Close Order
Orders & Execution
Limit-on-Close Order is an order instruction that modifies when, where or under what conditions a trading instruction may execute.
076
Market-on-Open Order
Orders & Execution
Market-on-Open Order is an order instruction that modifies when, where or under what conditions a trading instruction may execute.
077
Limit-on-Open Order
Orders & Execution
Limit-on-Open Order is an order instruction that modifies when, where or under what conditions a trading instruction may execute.
078
Immediate-or-Cancel Order
Orders & Execution
An order that executes immediately to the extent possible and cancels any unfilled remainder.
079
Fill-or-Kill Order
Orders & Execution
An order that must execute immediately in full or be cancelled entirely.
080
Good-Til-Cancelled Order
Orders & Execution
An order that remains active until executed, explicitly cancelled or removed under the venue's maximum-duration rules.
081
Day Order
Orders & Execution
An order that remains active only for the current trading session unless executed or cancelled earlier.
082
Stop Order
Orders & Execution
An order that becomes active after a specified trigger price is reached or crossed.
083
Pegged Order
Orders & Execution
An order whose price automatically follows a specified market reference such as the best bid, best offer or midpoint.
084
Midpoint Peg Order
Orders & Execution
A pegged order priced relative to the midpoint between the best bid and best ask.
085
Hidden Order
Orders & Execution
An order whose full executable size is not displayed in the public order book.
086
Iceberg Order
Orders & Execution
An order that exposes only part of its total size while keeping the remaining quantity hidden and replenishing displayed size as executions occur.
087
Reserve Order
Orders & Execution
An order with a displayed portion and additional non-displayed reserve quantity.
088
Discretionary Order
Orders & Execution
Discretionary Order is an order instruction that modifies when, where or under what conditions a trading instruction may execute.
089
Post-Only Order
Orders & Execution
An order instruction intended to add liquidity and avoid immediately executing against resting interest.
090
Sweep Order
Orders & Execution
An order designed to execute rapidly across multiple price levels or venues to obtain available liquidity.
091
Intermarket Sweep Order
Orders & Execution
Intermarket Sweep Order is an order instruction that modifies when, where or under what conditions a trading instruction may execute.
092
Partial Fill
Orders & Execution
An execution in which only part of an order's requested quantity is completed.
093
Fill Rate
Orders & Execution
The proportion of submitted order quantity that is actually executed.
094
Fill Probability
Orders & Execution
The estimated likelihood that a resting or conditional order will execute within a specified horizon.
095
Execution Price
Orders & Execution
The price at which a trade is actually completed.
096
Execution Quality
Orders & Execution
The overall quality of an execution relative to available prices, speed, size, market impact and other relevant benchmarks.
097
Execution Cost
Orders & Execution
Execution Cost is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
098
Transaction Cost Analysis
Market Structure
The measurement and attribution of trading costs using benchmarks such as arrival price, spread, market impact and implementation shortfall.
099
Implementation Shortfall
Market Structure
The difference between the value of a theoretical decision-price portfolio and the realized value after actual execution, including explicit and implicit trading costs.
100
Arrival Price
Orders & Execution
The market price observed when an order or execution decision reaches the trading process, commonly used as a transaction-cost benchmark.
101
Volume-Weighted Average Price
Market Structure
The average traded price over a period weighted by transaction volume.
102
Time-Weighted Average Price
Market Structure
The average price over a period with observations weighted by time rather than transaction volume.
103
Participation Rate
Orders & Execution
Participation Rate is a market-microstructure metric that measures the frequency or proportion of a specified trading behavior relative to activity.
104
Participation Algorithm
Orders & Execution
Participation Algorithm is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
105
VWAP Algorithm
Orders & Execution
VWAP Algorithm is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
106
TWAP Algorithm
Orders & Execution
TWAP Algorithm is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
107
POV Algorithm
Market Structure
POV Algorithm is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
108
Smart Order Router
Orders & Execution
Technology that evaluates multiple venues or liquidity sources and routes orders according to price, liquidity, fees and execution rules.
109
Order Routing
Orders & Execution
Order Routing is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
110
Order Handling
Orders & Execution
Order Handling is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
111
Best Execution
Orders & Execution
The obligation or process of seeking the best overall execution outcome for a client under the applicable legal and market framework.
112
Trade-Through
Orders & Execution
An execution at an inferior price when a better protected quotation is available elsewhere, where applicable under market rules.
113
Locked Market
Market Structure
A quotation state in which the best bid equals the best ask.
114
Crossed Market
Market Structure
A quotation state in which the highest bid is above the lowest ask.
115
Stale Quote
Quotes & Price Formation
A displayed or transmitted price that no longer reflects current market conditions or the provider's latest valuation.
116
Quote Flickering
Quotes & Price Formation
Quote Flickering is a quotation concept describing how bid or offer information is formed, displayed or updated in the trading process.
117
Quote Revision
Quotes & Price Formation
Quote Revision is a quotation concept describing how bid or offer information is formed, displayed or updated in the trading process.
118
Quote Stuffing
Quotes & Price Formation
The submission and rapid cancellation or modification of very large numbers of messages, potentially creating noise or stressing market infrastructure.
119
Firm Quote
Quotes & Price Formation
A price at which the quoting participant is committed to trade, subject to stated size and conditions.
120
Indicative Quote
Quotes & Price Formation
A non-binding price indication intended to communicate approximate market levels rather than a firm executable commitment.
121
Two-Way Quote
Quotes & Price Formation
A simultaneous bid and offer showing prices at which a participant is prepared, or indicating willingness, to buy and sell.
122
Composite Price
Quotes & Price Formation
A price estimate constructed from multiple quotes, trades or pricing sources rather than a single transaction.
123
Reference Price
Quotes & Price Formation
A benchmark price used for valuation, execution comparison, pegging or market-control rules.
124
Last Traded Price
Quotes & Price Formation
The price of the most recent reported transaction in an instrument.
125
Microprice
Quotes & Price Formation
A short-horizon fair-price estimate derived from the best bid and ask together with their relative displayed sizes.
126
Bid Size
Quotes & Price Formation
The quantity available or displayed at a bid price.
127
Ask Size
Quotes & Price Formation
The quantity available or displayed at an offer price.
128
Displayed Liquidity
Liquidity & Transaction Costs
Trading interest visible to other market participants before execution.
129
Hidden Liquidity
Liquidity & Transaction Costs
Executable trading interest that is not fully displayed before execution.
130
Latent Liquidity
Liquidity & Transaction Costs
Potential buying or selling capacity that is not currently posted as an actionable quote but may emerge when prices or conditions change.
131
Liquidity Hole
Liquidity & Transaction Costs
Liquidity Hole is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
132
Liquidity Mirage
Liquidity & Transaction Costs
Apparent market depth that disappears when participants attempt to execute against it, making displayed liquidity less reliable than it initially appeared.
133
Liquidity Fragmentation
Liquidity & Transaction Costs
The distribution of executable liquidity across multiple venues, dealers, protocols or pools rather than one consolidated source.
134
Market Fragmentation
Quotes & Price Formation
The division of trading activity across multiple venues or execution channels.
135
Venue Fragmentation
Quotes & Price Formation
Venue Fragmentation is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
136
Order Flow Fragmentation
Orders & Execution
Order Flow Fragmentation is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
137
Price Formation
Price Discovery & Information
The process through which new information, order flow, inventory needs and liquidity conditions become reflected in market prices.
138
Information Asymmetry
Price Discovery & Information
A condition in which some participants possess information or analytical advantages that other participants do not.
139
Adverse Selection
Price Discovery & Information
The risk that a liquidity provider trades against a better-informed counterparty immediately before the market price moves against the provider.
140
Informed Trading
Market Structure
Trading motivated by information or analysis expected to predict a change in fundamental value or near-term price.
141
Toxic Flow
Price Discovery & Information
Order flow that is systematically costly for liquidity providers because it tends to precede adverse price moves.
142
Order Flow Toxicity
Orders & Execution
The degree to which incoming trades are likely to reflect superior information or create losses for liquidity providers.
143
VPIN
Market Structure
Volume-Synchronized Probability of Informed Trading, a proposed order-flow metric intended to estimate imbalances associated with informed trading risk.
144
Trade Sign
Price Discovery & Information
A classification indicating whether a trade is treated as buyer-initiated or seller-initiated for market-microstructure analysis.
145
Buyer-Initiated Trade
Price Discovery & Information
A transaction classified as initiated by a buyer, typically because the buyer crossed the spread or traded at the offer side.
146
Seller-Initiated Trade
Price Discovery & Information
A transaction classified as initiated by a seller, typically because the seller crossed the spread or traded at the bid side.
147
Trade Classification
Price Discovery & Information
The process of inferring whether reported transactions were buyer- or seller-initiated when that information is not directly published.
148
Kyle Lambda
Price Discovery & Information
A market-impact coefficient from Kyle's microstructure framework that relates signed order flow to price changes.
149
Amihud Illiquidity
Liquidity & Transaction Costs
A liquidity measure that relates the absolute return of an asset to its trading volume, with higher values indicating greater price movement per unit of volume.
150
Roll Spread
Liquidity & Transaction Costs
An estimator of effective bid-ask spread inferred from negative serial covariance in transaction-price changes under the Roll model.
151
Hasbrouck Information Share
Price Discovery & Information
A price-discovery measure estimating how much each market or venue contributes to innovations in a common efficient price.
152
Market Impact Function
Liquidity & Transaction Costs
A relationship describing how expected price impact changes with order size, trading rate or participation.
153
Market Impact Decay
Liquidity & Transaction Costs
The process by which temporary execution-related price impact dissipates after trading pressure subsides.
154
Square-Root Market Impact
Liquidity & Transaction Costs
An empirical market-impact relationship in which impact often grows approximately with the square root of order size relative to market volume.
155
Inventory Risk
Dealer & OTC Markets
The risk that a dealer or market maker suffers losses while holding positions acquired through client or liquidity-provision activity.
156
Dealer Inventory Management
Dealer & OTC Markets
The process by which dealers adjust quotes, hedges and interdealer trades to control positions accumulated from client flow.
157
Risk Warehousing
Dealer & OTC Markets
The temporary holding of market risk by an intermediary until it can be hedged, transferred or offset.
158
Dealer Intermediation
Dealer & OTC Markets
The use of dealer balance sheets, pricing and distribution networks to connect buyers and sellers that do not trade directly.
159
Dealer Balance-Sheet Capacity
Dealer & OTC Markets
The amount of risk and financing a dealer can allocate to market-making and intermediation given capital, leverage, liquidity and internal constraints.
160
Balance-Sheet Constraint
Market Structure
A regulatory, funding, capital or risk limit that restricts the quantity of positions or intermediation a firm can carry.
161
Dealer Axes
Dealer & OTC Markets
Dealer indications of securities or risk directions the dealer is particularly interested in buying or selling, often reflecting inventory or client demand.
162
Dealer Runs
Dealer & OTC Markets
Lists or streams of indicative dealer prices distributed to clients for multiple securities.
163
Client Flow
Dealer & OTC Markets
Trading activity generated by end clients and received by dealers, brokers or venues.
164
Inventory Skew
Dealer & OTC Markets
A deliberate adjustment of bid and offer prices or sizes to encourage trades that reduce an unwanted inventory position.
165
Quote Skew
Quotes & Price Formation
An asymmetric adjustment of quoted prices or sizes designed to reflect inventory, risk or directional preference.
166
Bid-Ask Bounce
Price Discovery & Information
Short-run alternation in transaction prices caused by trades occurring at bid and ask prices around an underlying efficient value.
167
Inventory Model of Market Making
Dealer & OTC Markets
Inventory Model of Market Making is a market-structure concept describing how liquidity, participants or execution mechanisms are organized.
168
Glosten-Milgrom Model
Price Discovery & Information
A classic microstructure model in which bid-ask spreads compensate market makers for the risk of trading with informed participants.
169
Kyle Model
Price Discovery & Information
A canonical market-microstructure model describing strategic informed trading and how order flow reveals private information through price impact.
170
Roll Model
Price Discovery & Information
A model that infers bid-ask spread effects from the serial covariance of transaction-price changes.
171
Grossman-Miller Model
Price Discovery & Information
A market-liquidity framework emphasizing the role of intermediaries that temporarily absorb order imbalances and are compensated for bearing inventory risk.
172
Latency
Electronic Trading & Data
The time delay between a market event, message, decision or order and its transmission, processing or execution.
173
Latency Arbitrage
Electronic Trading & Data
A strategy that attempts to profit from temporary price discrepancies created when some market participants or venues update more slowly than others.
174
Co-Location
Electronic Trading & Data
The placement of trading servers physically close to a venue's matching infrastructure to reduce communication latency.
175
Direct Market Access
Electronic Trading & Data
Technology allowing a client to send orders electronically to a trading venue using a broker's market access arrangements.
176
Sponsored Access
Electronic Trading & Data
A form of market access in which a client connects to a venue under a sponsoring broker's identifier and risk controls.
177
Algorithmic Trading
Electronic Trading & Data
The use of computer rules to determine order timing, price, size, routing or execution strategy.
178
High-Frequency Trading
Electronic Trading & Data
A form of automated trading characterized by very low latency, rapid message activity and short holding periods, though exact regulatory definitions vary.
179
Electronic Market Making
Electronic Trading & Data
Automated or semi-automated provision of two-way liquidity through electronic venues or dealer platforms.
180
Automated Market Maker
Electronic Trading & Data
A mechanism that supplies executable prices algorithmically, either through conventional electronic quoting or, in decentralized markets, formula-based liquidity pools.
181
Principal Trading Firm
Dealer & OTC Markets
A non-bank trading firm that primarily trades its own capital and can act as an important electronic liquidity provider.
182
Market Data Feed
Electronic Trading & Data
An electronic stream of quotes, trades, order-book updates or reference data distributed by a venue or data provider.
183
Trade Reporting
Transparency & Post-Trade
The publication or regulatory submission of completed transaction details after execution.
184
Pre-Trade Transparency
Transparency & Post-Trade
The availability of quote, order or executable-interest information before a trade occurs.
185
Post-Trade Transparency
Transparency & Post-Trade
The publication of transaction information after execution, such as price, size and time, subject to applicable deferrals or exemptions.
186
Trade Reporting Facility
Transparency & Post-Trade
An infrastructure or regulatory mechanism used to report qualifying off-exchange transactions.
187
Consolidated Tape
Transparency & Post-Trade
A system that aggregates trade and, in some designs, quote data from multiple trading venues into a combined market-data record.
188
Trade Matching
Market Design & Venues
The process of comparing trade details submitted by counterparties to ensure they agree before settlement processing.
189
Trade Confirmation
Transparency & Post-Trade
The formal communication of agreed trade economics between counterparties after execution.
190
Trade Affirmation
Transparency & Post-Trade
The process by which an investment manager, custodian or other party verifies and accepts trade details prior to settlement.
191
Trade Allocation
Transparency & Post-Trade
The assignment of an executed block or aggregate trade across underlying client accounts or funds.
192
Buy-In
Transparency & Post-Trade
A process that allows or requires a purchasing party to obtain securities in the market when the original seller fails to deliver, subject to the applicable market rules.
193
Close-Out
Transparency & Post-Trade
The termination and valuation of outstanding obligations, often accompanied by netting or replacement transactions under contractual or default procedures.
194
Treasury Interdealer Market
Dealer & OTC Markets
The segment of the U.S. Treasury market in which dealers and principal trading firms trade with one another, often through interdealer platforms.
195
Treasury Basis Trade
Fixed Income & Financing
A relative-value strategy seeking to capture pricing differences between Treasury cash securities and Treasury futures, typically involving leverage and repo financing.
196
Cash-Futures Basis
Fixed Income & Financing
The price relationship between a cash security and its corresponding futures contract after accounting for carry, financing, delivery and conversion factors.
197
Cheapest-to-Deliver
Fixed Income & Financing
The eligible bond that minimizes the economic cost of satisfying delivery into a futures contract after applying the contract's conversion factor.
198
Conversion Factor
Fixed Income & Financing
A futures-contract adjustment used to normalize delivery values across eligible bonds with different coupons and maturities.
199
Delivery Option
Fixed Income & Financing
The set of choices available to a futures short regarding which eligible security to deliver and, depending on contract rules, timing or notice.
200
Bond RFQ
Dealer & OTC Markets
A request-for-quote workflow specifically used to obtain executable prices for a bond from one or more dealers or liquidity providers.
201
Bond Portfolio Trading
Fixed Income & Financing
The simultaneous electronic or dealer-facilitated execution of a basket of bonds as a portfolio rather than as unrelated single-name trades.
202
Bond Market Depth
Liquidity & Transaction Costs
The amount of bond-market liquidity available across prices, dealers or execution channels before materially moving the market.
203
Bond Dealer Balance Sheet
Dealer & OTC Markets
The capital, funding and inventory capacity a dealer can devote to bond-market intermediation.
204
Bond All-to-All Trading
Dealer & OTC Markets
A bond-market structure that allows a wider range of participants to trade directly with one another instead of relying exclusively on dealer-to-client relationships.
205
Dealer-to-Client Bond Trading
Dealer & OTC Markets
Bond trading between dealers and end investors such as asset managers, insurers, pension funds or hedge funds.
206
Interdealer Bond Trading
Dealer & OTC Markets
Bond trading among dealers and professional liquidity providers to redistribute risk and manage inventory.
207
Bond Liquidity Score
Liquidity & Transaction Costs
A composite or model-based measure intended to summarize how readily a bond can be traded using variables such as spread, depth, turnover and price impact.
208
Bond Transaction Cost
Fixed Income & Financing
The explicit and implicit cost of executing a bond trade, including spread, market impact, fees and opportunity cost.
209
TRACE Reporting
Transparency & Post-Trade
The reporting of eligible U.S. fixed-income transactions to FINRA's Trade Reporting and Compliance Engine for regulatory and, subject to rules, public dissemination.
210
Securities Lending Fee
Fixed Income & Financing
The fee paid by a securities borrower to a lender, usually reflecting the scarcity and demand for the security being borrowed.
211
Hard-to-Borrow
Fixed Income & Financing
A security that is difficult or expensive to borrow because lendable supply is limited relative to demand.
212
Short Interest
Fixed Income & Financing
The quantity of a security sold short and not yet covered or closed, typically reported under market-specific rules.
213
Short Sale
Fixed Income & Financing
A sale of a security the seller does not currently own outright, normally requiring borrowing or an arrangement to deliver the security.
214
Market Squeeze
Flow, Stress & Market Quality
A market condition in which scarce deliverable supply, financing constraints or concentrated positioning forces participants to transact at unusually unfavorable prices.
215
Corner
Flow, Stress & Market Quality
A situation in which a participant or group controls enough available supply of an asset to distort normal market functioning or pressure short positions.
216
Short Squeeze
Flow, Stress & Market Quality
A sharp upward price move amplified when short sellers rush to buy securities to close positions, adding further demand.
217
Liquidity Squeeze
Liquidity & Transaction Costs
A condition in which funding or executable market liquidity becomes scarce, forcing participants to pay materially higher prices for immediacy.
218
Disorderly Market
Orders & Execution
A market in which prices, spreads, depth or execution conditions become sufficiently unstable that normal trading mechanisms are impaired.
219
Flash Crash
Flow, Stress & Market Quality
An exceptionally rapid and severe price decline, often followed by a partial recovery, occurring over a very short interval.
220
Trading Halt
Flow, Stress & Market Quality
A temporary suspension of trading in an instrument or market under venue, regulatory or emergency rules.
221
Volatility Interruption
Flow, Stress & Market Quality
A mechanism that pauses continuous trading or shifts an instrument into auction when price movements exceed specified thresholds.
222
Circuit Breaker
Market Design & Venues
A rule-based mechanism that pauses or constrains trading after specified market moves in order to provide time for information and liquidity to rebalance.
223
Limit Up-Limit Down
Market Design & Venues
A market-control framework that restricts trading outside dynamic price bands and may trigger pauses when prices remain at those bands.
224
Price Limit
Market Design & Venues
A rule setting the maximum permitted price movement or trading range over a specified period.
225
Auction Imbalance
Market Design & Venues
The difference between buy and sell interest entered for an auction at or near the prospective clearing price.
226
Closing Imbalance
Flow, Stress & Market Quality
An excess of buy or sell interest scheduled for execution in a market's closing auction.
227
Opening Imbalance
Flow, Stress & Market Quality
An excess of buy or sell interest scheduled for execution in a market's opening auction.
228
Volume Profile
Flow, Stress & Market Quality
A representation of traded volume distributed across price levels rather than only across time.
229
Trade Intensity
Flow, Stress & Market Quality
The frequency or value of transactions occurring over a given interval.
230
Order Arrival Rate
Orders & Execution
The rate at which new orders enter a market or order book.
231
Cancellation Rate
Flow, Stress & Market Quality
The rate at which previously submitted orders are cancelled before execution.
232
Order-to-Trade Ratio
Orders & Execution
The number of submitted orders or order messages relative to completed trades.
233
Cancel-to-Trade Ratio
Flow, Stress & Market Quality
The number of order cancellations relative to completed trades.
234
Market Data Latency
Electronic Trading & Data
The delay between a market event and the time a recipient receives or processes the corresponding market-data update.
235
Spread Decomposition
Liquidity & Transaction Costs
The analytical separation of a bid-ask spread into components associated with order processing, inventory risk and adverse selection.
236
Price Improvement
Flow, Stress & Market Quality
Execution at a price better for the client than the relevant displayed, quoted or reference price.
237
Midpoint Execution
Orders & Execution
Execution at or relative to the midpoint between the best bid and best ask.
238
Odd-Lot Liquidity
Market Design & Venues
Liquidity represented by orders or trades smaller than the market's standard round-lot unit.
239
Immediacy
Liquidity & Transaction Costs
Immediacy is a market-microstructure concept used to analyze how trading activity, liquidity and execution mechanics influence observed market prices.
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