References (41)


Citations (4)



The Trade-At Rule, Internalization, and Market Quality

Daniel G. Weaver

Rutgers Business School

April 17, 2014

The SEC is considering the imposition of a trade-at rule which requires venues not at the inside to either significantly improve on price or route to a venue that is quoting at the inside. The rule is expected to greatly reduce the internalization of order flow either directly or through dark pools established to allow indirect internalization. This paper finds that internalization (direct and indirect) is associated with wider spreads (quoted, effective, and realized), higher price impact per trade, and increased volatility. I conclude that imposing a trade-at rule on US markets would improve the quality of markets.

Number of Pages in PDF File: 46

Keywords: Trade-at; internalization; market quality; dark pool

JEL Classification: G12, G14, G18

Open PDF in Browser Download This Paper

Date posted: May 25, 2011 ; Last revised: May 8, 2014

Suggested Citation

Weaver, Daniel G., The Trade-At Rule, Internalization, and Market Quality (April 17, 2014). Available at SSRN: https://ssrn.com/abstract=1846470 or http://dx.doi.org/10.2139/ssrn.1846470

Contact Information

Daniel G. Weaver (Contact Author)
Rutgers Business School ( email )
94 Rockafeller Road
Piscataway, NJ 08854
United States
848.445.5644 (Phone)
732.445.2333 (Fax)
HOME PAGE: http://weaver.rutgers.edu
Feedback to SSRN

Paper statistics
Abstract Views: 4,683
Downloads: 920
Download Rank: 18,411
References:  41
Citations:  4