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Pragma’s new research note discusses some deep challenges in the buyside’s effort to understand which trading venues provide the best execution quality, and whether brokers are routing their orders appropriately. The challenge is fundamental: the data that buyside clients currently receive from their brokers regarding where orders were filled is simply inadequate for the purpose of evaluating the quality of the venues that brokers route child orders to, or the quality of brokers’ routing policies.

This

The industry seems to be coalescing around the idea of eliminating maker-taker as a first step in US equity market structure reform. Congress is asking for a pilot. Nasdaq started one unilaterally. NYSE proposed capping fees and eliminating rebates, and BATS is onboard with a tiered cap. It’s fine as far as it goes, but we haven’t seen a proposal that properly addresses the interests of investors and the buyside.

As a matter of principle, we

Last Friday, the SEC’s Market Structure Subcommittee released its draft recommendation on decimalization and tick sizes. In a refreshingly clear analysis, it recommended that the SEC not experiment with artificially increasing the tick sizes for small-cap companies.

“Engaging in pilot programs, when we know what occurs from prior experience (and it is not good for investors) seems unjustifiable.

The basic question at issue is whether increasing tick sizes of small-cap stocks to a nickel (or more) will help