Abstract: We examine investor order choices using evidence from a recent period when the NYSE trades in decimals and allows automatic executions. We analyze the decision to submit or cancel an order or to take no action. For submitted orders, we distinguish order type (market vs. limit), order...

An ISO is a limit order designated for automatic execution in a specific market center even when another market center is publishing a better quotation, as long as the trader submits concurrent orders to the other market. We find that ISOs represent 46% of trades and 41% of volume in our sample....

In a single market, liquidity supply has two dimensions--price measured by the quoted spread, and quantity measured by the quoted depth. A third liquidity dimension, market breath, should be added when multiple markets quote the same security and there are enforceable regulatory penalties for a...