Research / Volume and order flow

Microstructure proxies

Spread and trading cost estimated from price bars, as signal and as cost measure.

The idea

Estimates of spread and trading cost taken from price bars, used both as signals and as measures of what a trade would cost.

Why it might exist

Spread and impact show up in the high, low and close of a bar.

Who is on the other side

Those who trade thin names without accounting for what the trade costs.

What would retire it

The estimates do not match the cost actually paid.