Can Brokers Have It All? On the Relation between Make-Take Fees and Limit Order Execution Quality

• 成果类型: Article
• 署名作者: Battalio, Robert; Corwin, Shane A.; Jennings, Robert
• 署名单位: University of Notre Dame; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12422
• 发表日期: 2016
• 页码: 2193-2237
• 关键词: markets; price

摘要

We identify retail brokers that seemingly route orders to maximize order flow payments, by selling market orders and sending limit orders to venues paying large liquidity rebates. Angel, Harris, and Spatt argue that such routing may not always be in customers' best interests. For both proprietary limit order data and a broad sample of trades from TAQ, we document a negative relation between several measures of limit order execution quality and rebate/fee level. This finding suggests that order routing designed to maximize liquidity rebates does not maximize limit order execution quality and thus brokers cannot have it all.