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- W2023683817 abstract "The basic idea of both dark pools and dark order types is not new. For certain orders, openly displaying an intent to trade could cause market impact by giving predatory traders a lowpriced option on a stock. By reducing the cost of this option through the narrowing of spreads, the introduction of decimalized trading exacerbated this effect. These changes, combined with evolving technology, led to the creation of a variety of venues designed to eliminate the signal of a large order. The new venues used both market structure mechanisms and the composition of their user base to deal with this problem. Two market structures, non-displayed quotes and minimum size, became fairly ubiquitous in the segment of alternative trading systems known as dark pools. While non-displayed quotes are relatively constant, the concept of a minimum volume is open to various interpretations. When it is trader-defined, minimum volume refers to the order size that a potential contra must achieve to interact with that trader9s order. For example, if a trader sets his minimum volume at 10,000, he would not interact with any order smaller than 10,000 shares. This article examines the thought processes involved in determining how to use minimum size. While orders may differ greatly in their need for size filtering, there are some common themes that can help practitioners think about the problem. <b>TOPICS:</b>Exchanges/markets/clearinghouses, equity portfolio management" @default.
- W2023683817 created "2016-06-24" @default.
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- W2023683817 date "2008-12-31" @default.
- W2023683817 modified "2023-10-08" @default.
- W2023683817 title "Using Minimum Volume in Dark Pools" @default.
- W2023683817 doi "https://doi.org/10.3905/jot.2009.4.1.031" @default.
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