IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

The microstructure of a U.S. Treasury ECN: the BrokerTec platform

  • Michael J. Fleming
  • Bruce Mizrach

This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-,three-, five-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies that use data only from voice-assisted brokers. We find that the price effect of trades on BrokerTec is quite small and is even smaller once order-book information is considered. Moreover, order-book information itself is shown to affect prices. We also explore a novel feature of BrokerTec--the ability to enter hidden ("iceberg") orders--and find that, as predicted by theory, such orders are more common when price volatility is higher.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

File URL:
Download Restriction: no

Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 381.

in new window

Date of creation: 2009
Date of revision:
Handle: RePEc:fip:fednsr:381
Contact details of provider: Postal: 33 Liberty Street, New York, NY 10045-0001
Web page:

More information through EDIRC

Order Information: Web: Email:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:fip:fednsr:381. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Amy Farber)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.