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| Title: | | The microstructure of a US Treasury ECN: The BrokerTec platform  |
| Authors: | | Fleming, Michael J. Mizrach, Bruce |
| Issue Date: | | 2009 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 381 |
| Abstract: | | This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies that use data only from voice-assisted brokers. We find that the price effect of trades on BrokerTec is quite small and is even smaller once order-book information is considered. Moreover, order-book information itself is shown to affect prices. We also explore a novel feature of BrokerTec - the ability to enter hidden ('iceberg') orders - and find that, as predicted by theory, such orders are more common when price volatility is higher. |
| Subjects: | | Microstructure Treasury market bid-ask spread price impact hidden orders |
| JEL: | | G14 G12 D4 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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