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Data driven insights into market structure and trading performance

Our research team publishes original work on market microstructure, execution performance, and trading cost — the same research that shapes every algorithm we build. Reach out for access to any individual piece, or as a client, request full access to our complete research library.

Driven by a relentless pursuit of innovation, QB Research is committed to delivering solutions that unlock the full potential of execution strategies while minimizing costs. We leverage the power of rigorous research and unmatched expertise to navigate the intricate landscape of the financial markets

Whitepapers

The modeling and testing our quant team does before anything reaches production — recent examples include new execution signals, how liquidity and volatility split across contract months, and smarter order routing across venues.

  • WHITEPAPER

    Extended microprice performance

    (Zhou, May 2026) A microprice signal that reads imbalance across a deeper slice of the order book — this paper examines the results from the first fifteen futures where we enabled it.

    Download PDF Extended microprice performance

  • WHITEPAPER

    Volume scales computation

    (Almgren, Jan 2026) Futures volume doesn't follow the tidy monthly or quarterly calendars you'd expect, so we built a method that discovers the real patterns and forecasts volume and variance per maturity across nearly 200 contracts.

    Download PDF Volume scales computation

  • WHITEPAPER

    SOR enhancements for cash treasuries

    (Zhou & Westhead, Jan 2026) We derive a closed-form estimate of time to fill from the full mechanics of queue depletion — cancellations as well as trades — and allocate size across venues accordingly.

    Download PDF SOR enhancements for cash treasuries

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Market microstructure updates

Market conditions change quickly, and we publish on it as it happens — real guidance for navigating execution during periods of high stress, not analysis after the fact. Recent examples include futures liquidity during periods of geopolitical stress, roll-period queue dynamics, and our monthly scan of microstructure conditions across every major futures asset class.

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