The Microstructure of a U.S. Treasury ECN: The Brokertec Platform

Michael 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)
JEL-codes: G14 D4 C32 (search for similar items in EconPapers)
Date: 2008-04-09
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Related works:
Working Paper: The microstructure of a U.S. Treasury ECN: the BrokerTec platform (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:rut:rutres:200803

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