Abstract
The proliferation of Alternative Trading Systems in the U.S. has had a profound impact on equity trading. With estimates of the total volume executing in crossing networks around 15%, any trading strategy that does not interact with non-displayed liquidity pools will miss out on liquidity opportunities. This article focuses on some practical considerations in implementing a trading strategy that interacts with non-displayed liquidity. It will outline some potential pitfalls—particularly those that can affect the portfolio-driven investor—and provide a framework for avoiding them.
TOPICS: Equity portfolio management, exchanges/markets/clearinghouses
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