[Notes from the desk]

Notes from the desk.

Selected technical writing on market microstructure, execution, and digital-asset trading.

• [Insight 07] · 2026-05-11

  Adverse selection in automated markets

  Adverse selection is not a single line item on a fee schedule. It is the conditional distribution of price moves that follow your fills — the signal that distinguishes venues, hours, and instruments where the desk has an edge from those where it is contributing one to someone else.

• [Insight 06] · 2026-05-08

  Order lifecycle accounting

  An order is not a single event but a sequence of distinct stages — signal, route, submit, match, settle — each carrying its own explicit and implicit cost. Aggregate fill-quality metrics conceal where the cost actually accumulates and leave the next optimisation decision without a basis.

• [Insight 05] · 2026-05-09

  Venue selection as a risk decision

  Venue selection is typically framed as a cost optimisation — fees, fill rates, depth. It is better understood as a risk decision that bundles settlement architecture, counterparty composition, and liquidity concentration into every routing choice.

• [Insight 04] · 2026-05-04

  Oracle latency as infrastructure cost

  Oracle data latency is not just a technical metric — it is an infrastructure cost that compounds across every decision made against a stale external price reference. We compare relay and direct-feed delivery architectures and examine what the difference means in practice.

• [Insight 03] · 2026-04-30

  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.

• [Insight 02] · 2026-04-22

  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.

• [Insight 01] · 2026-04-15

  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.