Abstract

http://ssrn.com/abstract=1681449
 
 

Citations (1)



 


 



Does Smart Routing Matter?


Jeffrey Michael Bacidore


Investment Technology Group, Inc.

Hernan Otero


Goldman Sachs Asset Management

Alak Vasa


Vice President

August 18, 2010


Abstract:     
We compare the performance of broker smart routers separately for non-marketable and marketable orders. For non-marketable orders, smart routers that “naively” route to maximize liquidity rebates perform significantly worse than those routing to maximize fill rates. The difference between the best and worst broker smart router is about 10% of the bid-ask spread (0.4 basis points) on average for large cap stocks and 6% of the spread (0.9 basis points) on average for small cap stocks, a significant difference for cost-sensitive traders. We also find that the best brokers perform well across all liquidity groups. For marketable orders, however, smart router performance generally does not vary significantly across brokers.

Number of Pages in PDF File: 9

Keywords: Algorithmic Trading, Smart Routing, Reg NMS, Limit Orders

working papers series


Download This Paper

Date posted: September 25, 2010  

Suggested Citation

Bacidore, Jeffrey Michael and Otero, Hernan and Vasa, Alak, Does Smart Routing Matter? (August 18, 2010). Available at SSRN: http://ssrn.com/abstract=1681449 or http://dx.doi.org/10.2139/ssrn.1681449

Contact Information

Jeffrey Michael Bacidore (Contact Author)
Investment Technology Group, Inc. ( email )
380 Madison Avenue
4th Floor
New York, NY 10017
United States
Hernan Otero
Goldman Sachs Asset Management ( email )
200 West Street
New York, NY 10004
United States
Alak Vasa
Vice President ( email )
200 West Street
New York, NY 10004
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,655
Downloads: 441
Download Rank: 34,138
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.468 seconds