We examine the execution quality of electronic stock traders who are geographically dispersed throughout the United States. Traders who are located near market central computers in the New York City area experience faster order execution. Moreover, the time to execute orders rises as a trader's...

The cost of trading in securities markets is often estimated on the basis of: 1. the number of shares executed rather than the number of shares in the original order; and 2. the quote midpoint at the time of trade execution rather than at the time of order submission. In our paper, we obtain...

We examine quantity choice patterns by equity traders across trading hours in the U.S. Controlling for intraday variations in trading activity, we find that traders submit more non-rounded order sizes and more order sizes overall leading up to a day’s market close. Traders who submit more...

We study differences in trading between US equity market participants with high and low cancellation activity. Traders with high (low) cancellation rates are significant net suppliers (takers) of liquidity and, overall, less (more) informed about future prices. The findings suggest that recent...

Purpose – The purpose of this paper is to examine US equity traders’ use of market orders versus price contingent orders with respect to information content. Design/methodology/approach – Price changes following market and price contingent order submissions are analysed. Findings – It is...

Prior research indicates that both execution speed and cost are important to traders, but that these two dimensions of execution quality are negatively related across U.S. equity markets. In our paper, we examine how U.S. equity traders, who are (un)informed about future price changes, trade-off...

We examine intraday execution quality patterns on Nasdaq stocks using proprietary order-level data from a US broker dealer. Orders submitted midday execute slower than orders submitted around the open and close. However, midday orders have lower execution costs. Our results indicate that...