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: Suggested Citation