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REPORT

Order Size, Trading Costs and Bilateral Liquidity

Order Size, Trading Costs and Bilateral Liquidity

There is a clear connection between an order’s duration and slippage. As execution sizes continue to decline, this White Paper examines when is it preferrable to trade electronically getting small fills versus paying the full spread to immediately complete the order by executing in a bilateral stream or some other block-oriented trading venue?

Author: 
Henry Yegerman
Associate Director, ISS LiquidMetrix