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The Microstructure of a U.S. Treasury ECN: The Brokertec Platform
Michael J. Fleming Federal Reserve Bank of New York Bruce Mizrach Rutgers University, New Brunswick/Piscataway, Faculty of Arts and Sciences-New Brunswick/Piscataway, Department of Economics July 13, 2009 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. Working Paper Series Date posted: July 18, 2009 ; Last revised: July 18, 2009Suggested CitationContact Information
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