When you trade, do you place market orders, limit orders or a combination of both? Do you or should you care? The answer is yes, you should care, particularly in today’s volatile markets, and this article explains why. When investors place a market order, say, an order to buy 100 shares of IBM at market, the investors are trying to tell the exchanges: “buy 100 shares of IBM for my account at the best available price.” However, by the time the order is transmitted to their broker and then by their broker to the exchange, the best available price may have drifted away. The largerRead More →

Just 10 years ago, finance was a small-data discipline. The small-data approach was partly due to the actual lack of data. To most investors, exchanges offered only four prices per stock per day: Open, High, Low and Close, and all of those were reported the following day (on the T+1 basis). Even the largest market makers did not store intraday data beyond what was mandated by regulators. Commodity trading floors, for instance, had only 21 days of history on hand until approximately five years ago. Finance Ph.D. programs almost exclusively taught analysis of closing prices, mentioning intraday variations only in passing. Today, real-time streaming dataRead More →