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Quantitative Finance · Glossaire

Qu'est-ce que « Flow segmentation » ?

Definition 23.1 Market Making and High-Frequency Trading · Chapitre 23 — Retail Wholesaling

Flow segmentation is the separation of order flow by its origin (retail, institutional, proprietary) so that each segment trades at prices set by its own expected information and cost, rather than at a single price set by the mix; it is what allows a wholesaler to improve on the quotes that informed flow has made wide.

A retail order’s path: the broker routes it to a wholesaler, which fills it as principal at the national best bid or offer improved by part of the half-spread, pays the broker for the flow, and hedges on an exchange the inventory it will not hold. Source: Book 1, chapter 10; this chapter.
Figure 23.1. A retail order’s path: the broker routes it to a wholesaler, which fills it as principal at the national best bid or offer improved by part of the half-spread, pays the broker for the flow, and hedges on an exchange the inventory it will not hold. Source: Book 1, chapter 10; this chapter.
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