scholarly journals Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data

2011 ◽  
Author(s):  
Nikolaus Hautsch ◽  
Ruihong Huang
Keyword(s):  
Optimal Order ◽  
Order Flow ◽  
Market Impact ◽  
Limit Order

Do (Should) Brokers Route Limit Orders to Options Exchanges That Purchase Order Flow?

2019 ◽  
pp. 1-29
Author(s):  
Robert Battalio ◽  
Todd Griffith ◽  
Robert Van Ness
Keyword(s):  
Empirical Evidence ◽  
Stock Exchange ◽  
Order Flow ◽  
Limit Order ◽  
Purchase Order ◽  
Limit Orders ◽  
Order Execution

We examine whether options exchanges’ pricing schedules affect broker order routing behavior and limit order execution quality. We find that some brokers seemingly maximize the value of their order flow by selling marketable orders and sending nonmarketable orders to exchanges that offer large liquidity rebates. Other brokers appear to bypass liquidity rebates by routing both marketable and nonmarketable orders to exchanges that purchase order flow. Using a decision by the Philadelphia Stock Exchange (PHLX) to change its trading protocol, we provide empirical evidence that brokers can enhance limit order execution quality by routing nonmarketable limit orders to options exchanges that purchase order flow.

scholarly journals Analysis of Limit Order Book and Order Flow

2003 ◽  
Author(s):  
Charlie Charoenwong ◽  
Nuttawat Visaltanachoti ◽  
David K. Ding
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order
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