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A Comparison of Equity Limit Order Execution Quality Across Trading Venues

Posted: 10 Aug 1998  

Robert H. Battalio

University of Notre Dame - Department of Finance

Jason T. Greene

The University of Alabama in Huntsville

Brian C. Hatch

University of Cincinnati - Department of Finance - Real Estate

Robert H. Jennings

Indiana University - Kelley School of Business - Department of Finance

Date Written: 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

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: https://ssrn.com/abstract=89568

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

The University of Alabama in Huntsville ( email )

301 Sparkman Drive
Huntsville, AL 35899
United States
256-824-4424 (Phone)

HOME PAGE: http://www.uah.edu/business

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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