The Transition to Electronic Trading in the Secondary Treasury Market
This article reviews the history of the recent shift to electronic trading in equity, foreign ex- change and fixed-income markets. We analyze a new data set: the eSpeed (Cantor Fitzgerald) electronic Treasury network. We contrast the market microstructure of eSpeed with the tradi- tional voice assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads and a lower estimated impact of a trade than the voice market (GovPX).
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|Date of creation:||30 Jan 2006|
|Date of revision:|
|Publication status:||Published in Federal Reserve Bank of St. Louis Review, 88, 2006, 527-41.|
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