Abstract

http://ssrn.com/abstract=89568
 


 



A Comparison of Equity Limit Order Execution Quality Across Trading Venues


Robert H. Battalio


University of Notre Dame - Department of Finance

Jason T. Greene


Southern Illinois University

Brian C. Hatch


University of Cincinnati - Department of Finance - Real Estate

Robert H. Jennings


Indiana University - Kelley School of Business - Department of Finance

January 1998


Abstract:     
The scant amount of extant research evaluating intermarket limit order execution quality does not control order characteristics or market conditions, making it difficult to compare execution quality across market centers. We analyze fill rates and execution times across different trading venues for comparable limit orders in NYSE-listed equities. We introduce a new methodology for estimating if/when hypothetical limit orders execute and we demonstrate its accuracy. Contrary to extant work, our naive simulations suggest that the NYSE provides higher fill rates and faster fill times, on average, than regional stock exchanges. Additional analyses, however, suggest that regional exchanges and individual brokerage firms provide execution systems making the regionals' limit order execution quality no worse than and possibly superior to New York's.

JEL Classification: G10, G18

working papers series


Not Available For Download

Date posted: August 10, 1998  

Suggested Citation

Battalio, Robert H. and Greene, Jason T. and Hatch, Brian C. and Jennings, Robert H., A Comparison of Equity Limit Order Execution Quality Across Trading Venues (January 1998). Available at SSRN: http://ssrn.com/abstract=89568

Contact Information

Robert H. Battalio (Contact Author)
University of Notre Dame - Department of Finance ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
574-631-9428 (Phone)
574-631-5255 (Fax)
Jason T. Greene
Southern Illinois University ( email )
Mail Code 4626
Carbondale, IL 62901-4626
United States
618-453-1421 (Phone)
Brian C. Hatch
University of Cincinnati - Department of Finance - Real Estate ( email )
Carl H. Lindner Hall
P.O. Box 210195
Cincinnati, OH 45221
United States
513-556-7076 (Phone)
513-556-0979 (Fax)
Robert H. Jennings
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-2696 (Phone)
812-855-5875 (Fax)

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