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The buyside has many interrelated concerns around the US equity market structure: high frequency trading, latency advantages, complex exchange order types, brittleness in the market resulting in “mini flash-crashes,” the sequestration of liquidity in darkpools, and the maker-taker model, among others. But one area that touches each of these but receives little attention is the role of the broker.

The buyside interacts with the market using brokers as their agents. When a buyside trader hands an order to a broker’s

The SEC has mandated a massive project to build the consolidated audit trail (CAT) over the next several years, at a cost that’s projected to reach the hundreds of millions of dollars that will ultimately be borne by investors. But there has so far been a disturbing lack of attention to how this massive database is supposed to be used from a technical perspective. As a result, it looks likely that the CAT will be

Pragma’s research team recently released a new research note titled “The Limits of Price Prediction Algorithms”. The research team took this look at short-term price prediction (on the scale of a few minutes) because of the increase of marketing claims over the last couple of years for price prediction as a significant contributor to execution quality in agency algorithms.

The research note provides a framework for quantifying the value that short-term price prediction can bring to agency-style