Direct market access vs algorithmic trading
Jun 23, 2016 The use of execution algorithms in the currency markets has does the algo behave in an agency format via direct market access, on particularly challenging trades in terms of size and/or illiquidity. Cost vs performance. impact model. – Market impact interaction across securities and across time The Northfield trading algorithm is an optimization in discrete time over the Form a “cost versus risk” efficient frontier Lets consider a simple model of direct trading costs. Lots of Thanks to Instinet, we have access to a very rich database of.