Are Odd Lot Orders Informed?

41 Pages Posted: 30 Dec 2015 Last revised: 5 Jan 2016

See all articles by James Upson

James Upson

University of Texas at El Paso

Hardy Johnson

Kansas State University

Multiple version iconThere are 2 versions of this paper

Date Written: December 28, 2015


Using a version of the ITCH data set time stamped to the millisecond, O’Hara, Yao, and Ye (2014) find that odd lot trades are highly informed. However, NASDAQ reports trades based on the size of the resting limit order, creating a bias in the count of odd-lot trades. Using ITCH data from 2013, time stamped to the nanosecond, we find that roughly 50% of odd-lot trades are created by the resting limit order and are part of larger marketable orders. We show that odd-lot marketable orders are not more informed than round/mixed lot marketable orders.

Keywords: TAQ data, Odd-lots, Price Discovery, Transparency, Order Imbalance, Retail Trading

JEL Classification: G10, G14

Suggested Citation

Upson, James and Johnson, Hardy, Are Odd Lot Orders Informed? (December 28, 2015). Available at SSRN: or

James Upson (Contact Author)

University of Texas at El Paso ( email )

500 West University
El Paso, TX 79968-0545
United States

Hardy Johnson

Kansas State University ( email )

Manhattan, KS 66506-4001
United States

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