Table V-13

Distribution of Market and Marketable Limit Order Trading and Price-Improved Trades by Quoted Spread at Order Entry Time for Each Exchange

Table V-13: Distribution of Market and Marketable Limit Order
Trading and Price-Improved Trades by Quoted
Spread at Order Entry Time for Each Exchange
Number of TradesNumber of Trades Price Improved
(Distribution of Total Trades by Spread)(Distribution of Price Improved Trades by Spread)
Exchange1/8 Spread> 1/4 Spread1/8 Spread> 1/4 Spread
NYSE565,591128,13349,77262,529
81.5%18.5%44.3%55.7%
CSE150,69717,02212,13210,724
89.7%11.3%53.1%46.9%
BSE78,38216,1974,0936,666
82.9%17.1%38.0%62.0%
CHX190,86744,3876,04317,409
81.1%18.9%25.8%74.2%
PHLX99,71221,0243,2525,744
82.6%17.4%36.1%63.9%
PSE209,74341,0118,05814,134
83.6%16.4%36.3%63.7%
Data in the table corresponds to trades included in the
analysis and does not necessarily reflect all trading activity
on the exchanges. See Appendix D for complete details.

Last modified: 1/24/2001