[Notes from the desk]
Insights
Notes from the desk.
Selected technical writing on market microstructure, execution, and digital-asset trading.
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[Essay 03] ·
Measuring execution quality in 24/7 digital-asset markets
Execution quality in always-on markets requires different benchmarks than traditional intraday metrics. We outline a framework for measuring slippage, fill rate, and realised cost against a moving fair-value reference.
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[Essay 02] ·
Latency budgets in algorithmic execution
Every component in an execution stack consumes part of a finite latency budget — from market-data ingestion through quote generation and venue acknowledgement. Understanding where the budget is spent matters more than chasing absolute speed.
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[Essay 01] ·
Notes on liquidity fragmentation across digital-asset venues
Digital-asset liquidity is split across dozens of venues with overlapping but non-identical books. We outline how fragmentation shapes price discovery and what it implies for systematic liquidity providers.