The Microstructure of a U.S. Treasury ECN: The Brokertec PlatformMichael J. Fleming () and Bruce Mizrach () Departmental Working Papers from Rutgers University, Department of Economics Abstract: This paper assesses the microstructure of the U.S. Treasury securities market using tick data from the BrokerTec electronic trading platform. We examine trading activity, bid-ask spreads, and depth for the on-the-run 2-, 3-, 5-, 10- and 30-year securities and find that liquidity is markedly greater than that reported by earlier studies using data from GovPX. We analyze the price impact of trades and find that the effects are overstated if order book changes are ignored, and that order book changes affect prices by themselves. We also explore a novel feature of this platform – the ability to enter "iceberg" orders – and find that such orders are more common when price volatility is higher, as predicted by theory. Keywords: microstructure; Treasury market; bid-ask spread; price impact; hidden orders (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Access Statistics for this paper More papers in Departmental Working Papers from Rutgers University, Department of Economics |
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