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.
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)