Table V-10A

Average Dollar Per Trade Net Price Improvement in 1/8 Point Markets by Exchange and Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues

Table V-10A: Average Dollar Per Trade Net Price Improvement in 1/8 Point Markets
by Exchange and Order Size for Market and Marketable Limit Orders in
NYSE-Listed Issues
Dollars Per Trade
Order SizeOrder TypeNYSEBSECHXCSEPHLXPSE
100 SharesMarket Orders1.690.750.230.790.420.47
Marketable Limits0.850.48-0.030.100.240.25
Both1.540.720.200.730.410.45
101-200 SharesMarket Orders2.481.220.591.560.730.75
Marketable Limits1.230.81-0.040.020.360.45
Both2.251.170.501.420.700.72
201-300 SharesMarket Orders3.501.931.082.151.030.98
Marketable Limits1.591.32-0.090.470.310.55
Both3.051.840.891.970.940.93
301-400 SharesMarket Orders4.582.411.042.841.371.43
Marketable Limits1.791.38-0.44-0.320.350.88
Both3.792.240.792.471.241.36
401-500 SharesMarket Orders4.662.341.722.841.701.39
Marketable Limits2.231.08-0.252.030.900.89
Both3.702.081.262.711.551.30
501-1,000 SharesMarket Orders6.324.241.112.501.201.00
Marketable Limits3.172.71-0.49-0.241.200.94
Both4.903.840.691.921.200.99
1,001-5,000 SharesMarket Orders8.137.849.792.01-4.95-4.46
Marketable Limits6.044.38-3.022.580.601.95
Both6.856.796.182.17-3.14-2.33
5,001 or More SharesMarket Orders33.0410.69186.49-22.34-63.52-39.68
Marketable Limits10.644.54-8.91-3.75-83.850.82
Both15.258.01155.96-13.59-73.79-16.29
All OrdersMarket Orders4.762.341.621.650.600.46
Marketable Limits4.402.01-0.520.490.280.87
Both4.622.291.281.500.550.52

Last modified: 1/24/2001