Andreas Park PRO
Professor of Finance at UofT
paper by Chen, Foley, Goldstein, and Ruf
discussion by Andreas Park
Who benefits from a speed bump on marketable orders that provides a speed advantage to some limit orders?
The famous case: IEX's Speed Bump
Here: TSX Alpha Exchange
market event
expect market orders
200 shares
100 shares
500 shares
before
at the ask
market event
expect market orders
200 shares
100 shares
500 shares
after
cancels
1 event = 4 changes
Price level | retail | non-retail |
---|---|---|
$1-$5 | 1,486 | 697 |
$5-$10 | 791 | 413 |
$10-$25 | 422 | 266 |
>$25 | 275 | 203 |
average volume for single-market marketable orders
Price level | retail | non-retail | %retail | minimum size Alpha |
---|---|---|---|---|
$1-$5 | 5,100 | 5,797 | 26% | 5,000 |
$5-$10 | 2,134 | 2,378 | 17% | 3,500 |
$10-$25 | 1,032 | 1,128 | 27% | 1,000 |
>$25 | 664 | 719 | 17% | 500 |
average volume for multi-market marketable orders
=> retail trades are neither small nor trade on only one market
HANDLE WITH CARE: "retail orders, on average, are unlikely to need to execute quantities larger than the 5 board lot minimum Alpha enforces"
overall I like many of the results, and I believe that they make intuitive sense, but I think the construction of measures requires work
overall I like many of the results, and I believe that they make intuitive sense, but I think the construction of measures requires work
Broker | %Vol |
---|---|
Anonymous | 24% |
CIBC | 13% |
TD | 11% |
RBC | 9% |
BMO | 5% |
Scotia | 5% |
National Bank | 4% |
Merrill | 4% |
Instinet | 2% |
Morgan Stanley | 2% |
Source: RBC Marketstructure Guidebook Jan 2016
Who are the retail brokers? RBC & TD?
my view: take with huge grain of salt due to the many simultaneous changes
By Andreas Park
This is a discussion of Chen, Foley, Goldstein, Ruf's paper on "The Value of a Millisecond..."