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ALGO UPDATE: Cowen Says Block Liquidity Saves At Least 6bps

Traders Magazine Online News, September 7, 2017

John D'Antona Jr.

Recent research from Cowen’s Algorthmic Trading Group and shared with Traders Magazine, based on analysis of conditional orders in the firm’s algorithmic trading strategies, estimated value of an average block execution is at least 6 basis points, and can be significantly higher in less liquid securities.

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