For the past several years, exchange and dark pool order types have been one of the hot topics in the US equity markets, as characterized by WSJ exposes and record SEC fines. Rather than piling on with more negativity, this talk will walk through the process of developing a new order type, from the discovery of a market structure inefficiency to the research of potential solutions, and finally, the deployment and evaluation of the result. This talk will explore how exchanges and dark pools can impact the stock market through thoughtful order type design.
This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.