Time of Day & Marketability: Missed trading opportunities … Part 2
We continue with our recent discussion of missed trading opportunities at Luminex focusing on two common requests for more information: 1) tell us when during the trading day missed opportunities occurred and 2) measure lack of marketability (limit prices) in basis points versus cents per share.
In the most recent FINRA data, Luminex experienced the highest average trade size in both the 10K+ AND $200K+ and 10K+ categories, 52,406 and 51,351 shares respectively, which was far higher than the combined average for all ATS venues.
Missed trading opportunities at Luminex … close to 1 billion shares in 2017
A missed opportunity is when two or more opposite-side orders were in the system on the same day and did not trade.
We discuss the total unmatched quantity (shares) resulting from two different types of missed opportunities: time and marketability (limit price)