[MARKET MICROSTRUCTURE] Trading, Trading algorithms의 주요 Types

 

Main types of trading

- Bilateral trading

- Multilateral trading

 

 

Three different types of Multilateral trading

- Continuous trading: on orderbooks

- Auction trading: in market auctions

- Dark trading: the orderbook is hidden

 

Continuous trading

- Via a trading algorithm

- Directly sending orders to the market

 

 

 

Execution의 주요 특성

- The order duration: 주문 시간 및 주문이 완료되는 데 걸리는 시간

- The participation of the trading algorithm

- The aggressivity of the trading algorithm

- Choice of trading destinations

 

 

Three main types of trading algorithms

 

- VWAP/TWAP: Time-driven algorithms

- Volume (POV): Volume-driven algorithms

- Inplmentation shortfall: Liquidity seekers(유동성 추구자)

 

 

 

참조: Introduction to Market Microstructure (https://www.institutlouisbachelier.org/en/mooc/practical-introduction-to-market-microstructure-2/)