Table V-17

Fill Rates for Limit Orders for Each Exchange

Table V-17: Fill Rates for Limit Orders for Each Exchange
(Number of Orders Filled / Total Orders Submitted)
Limit Order TypeNYSEBSEBSECHXCSEPHLXPSE
CSI StocksNon-CSI Stocks
Marketable
1/8 Spread91.1%95.7%96.8%98.5%98.8%96.5%98.9%
1/4 Spread89.0%95.9%97.8%97.0%97.5%93.8%97.9%
Both90.9%95.7%96.9%98.3%98.7%96.2%98.8%
Partial Fill %3.13.02.30.20.00.20.2
Complete & Partial Fill %94.098.799.298.598.796.499.0
Quote Improving
1/8 Spread--------------
1/4 Spread74.0%92.1%84.4%82.5%94.7%82.6%84.8%
Both74.0%92.1%84.4%82.5%94.7%82.6%84.8%
Partial Fill %5.11.12.50.70.61.10.7
Complete & Partial Fill %79.093.186.983.295.383.785.5
At-the Quote
1/8 Spread48.6%76.7%60.1%60.9%77.8%67.3%65.8%
1/4 Spread33.0%73.3%54.6%44.7%64.7%49.3%49.8%
Both45.5%76.2%58.7%58.7%76.8%65.3%63.9%
Partial Fill %3.16.35.12.91.81.12.4
Complete & Partial Fill %48.682.563.861.685.466.466.3
Cancellations may affect the fill rates.

Last modified: 1/24/2001