Liquidity in global futures during the 2026 Iran conflic
March 13, 2026 - Using QB’s cost model as well as our recent realized results, we can see a clear increase in trading costs across almost all products in the last two weeks. Energy products like G, BRN, RB, CL show large increases in costs of 150-200%. March 9th was the day with the highest costs for energy products. AP, ES, MME, XT and ZN show moderate increases of 20-35%. YT and the Dollar Index DX has remained steady in terms of trading costs. These changes are largely in line with the increase in realized volatility. Data including March12th 2026 is considered for all exchanges, except ASX where the data is till March 13th.
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Liquidity in global futures during the 2026 Iran conflict
March 9th, 2026 - Using QB’s cost model as well as our recent realized results, we can see a clear increase in trading costs across energy products last week. G, BRN, RB, CL, ES and MME show cost increases of 20-140%. These changes are largely in line with the increase in realized volatility.
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Monthly Microstructure Report July 2025
August 6th, 2025 - In this paper, we analyze liquidity in June compared to July. Liquidity improved in July for interest rate and major equity index futures, especially VIX, with larger quote sizes and lower volatility.
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Predicting Fill Ratios For Cash Treasury Venues
June 27th, 2025 - QB employs a tie-break algorithm in its Smart-Order-Router (SOR) to determine the optimal venue for sending aggressive cash treasury orders when multiple venues offer the best price.
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SOR Passive Placement Enhancement For Cash Treasuries
June 12th, 2025 - In this paper, we propose a new model for passive order placement in smart order routing (SOR) for cash treasuries, designed to improve the estimation of order fill times and thereby enable more effective size allocation across venues by minimizing time to fill.
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Passive Slice Sizing Tactics For Schedule Algorithms In Pro-Rata Markets
May 13th, 2025 - In this note, we illustrate a specific difficulty that arises when posting passively in markets that use a pro-rata matching policy, such as CME treasury calendar spreads.
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Basis Trading: Maximizing Our Hit Rates Across U.S. Treasuries Cash
April 10th, 2025 - This whitepaper examines the optimal wait time for executing basis trades in U.S. treasuries cash and futures markets.
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Opportunistic Crossing In Cash Treasuries
January 3rd, 2025 - We outline a simple strategy to make crossing decisions based on the dynamics of the bid-ask spread, comparing its current value to forecast future values.
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Trends In Market Volumes Around Christmas And The New Year Period
December 17th, 2024 - We analyze trends in volumes over the late December period covering Christmas and the New Year. Typically, market volumes drop sharply during this period and so it is important to be aware of this when planning trades. This note is intended as a guide for such planning with the expectation that the same volume patterns will occur this year.
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US Treasuries Smart-Order-Routing (SOR) For Aggressive Crosses
November 8th, 2024 - We implement a new logic for the On-The-Run Treasuries Smart Order Router (SOR) for aggressive crosses, which allocates quantities across venues based on a ranking algorithm that uses the venues’ market impact and fill ratio.
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Trading Small-Tick Contracts
November 5th, 2024 - In the spring of 2024, QB began a project to improve algorithm behavior, especially for small-tick assets: those with bid-ask spread larger than the minimum price increment, and with thin order books having small size and few orders.
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CME Rates Calendar Spread Cointegration And Other Roll Improvements
July 17th, 2024 - We recently improved our algo performance in rolls by fine-tuning our aggressive cross signal and improving our accuracy in tracking our queue position. Read more.
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Regime-based Optimal Passive Limit Order Placement
July 17th, 2024 - QB’s algos combine market state identification in real-time with fill probability for dynamic limit order placement and other hyperparameters for order placement.
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Asset Manager's Position Of 10-Year Treasury Futures And Calendar Spread Changes
February 25th, 2024 - The net asset manager’s (AM) position of the U.S. 10-year futures from the Commitment of Traders (COT) report is at a 3-year high. The Figures show credibility to our roll forecasts model.
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Cash Treasury Month-End Profiles Around 4:00 P.M. Benchmark Timing
January 25th, 2024 - In this article, we will mainly look at month-end intra-minute volume profiles of Cash Treasury around the benchmark timing of 4:00 p.m. Eastern Time. Additionally, we also analyze the price profiles around the benchmark timing.
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Block Trades Against QB Algos: Evidence From EUREX Interest Rate Calendar Spreads
November 20th, 2023 - Our recent research examines how block trades impact futures markets and interest rate product calendar spreads.
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Robust Fitting
September 15th, 2023 - This paper provides comprehensive details of robust regression, which was referenced in our previous paper, "Robust Cost Modeling."
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Robust Cost Modeling
September 15th, 2023 - The purpose of this note is to contrast the usual ordinary least squares regression (OLS), which uses a normal error model, against a robust model that uses a log-cosh error model as described in the paper.
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Measuring Cross Impact Of CLOB Cash Treasury Venues And Treasury Futures
June 26, 2023 - In this paper, we use the concept of cross-correlation to assess the pairwise cross-impact between futures and different cash Treasury venues.
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Reinforcement Learning For Trade Execution: Empirical Evidence Based On Simulations
Mar 31, 2023 - We provide proof of concept solutions to solve trade execution problems using deep reinforcement learning (RL) and classical methods.
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