Retail Order Flow Segmentation

Journal of Trading, Vol. 13, No. 3, 2018

Posted: 29 Apr 2016 Last revised: 14 Aug 2018

Date Written: June 21, 2018


In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a new trading facility that enables participating organizations to quote dark limit orders available only to retail traders. The facility increased the information content of the order flow by distinguishing retail trades from relatively more informed trades. Stocks with substantial RLP activity experienced no material changes in relative bid-ask spreads, effective spreads, and price impacts, and had mildly decreased return autocorrelations.

Keywords: Order-flow segmentation, retail liquidity programs, dark pools, retail trading, price discovery

JEL Classification: G20, G14, L10

Suggested Citation

Garriott, Corey and Walton, Adrian, Retail Order Flow Segmentation (June 21, 2018). Journal of Trading, Vol. 13, No. 3, 2018, Available at SSRN: or

Corey Garriott (Contact Author)

TMX Group ( email )

130 King St W
Toronto, Ontario M5X 2A2

Adrian Walton

Bank of Canada ( email )

234 Wellington Street
Ontario, Ottawa K1A 0G9

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