Table V-22

Average Ex-Post Transaction Costs of At-the-Quote Limit Orders Entered on Each Exchange

Table V-22: Average Ex-Post Transaction Costs of At-the-Quote
Limit Orders Entered on Each Exchange
1/8 Spread
Cents Per Share
Order SizeNYSEBSECSECHXPHLXPSE
100-7.9-7.1-5.7-5.6-5.1-5.4
101 - 200-7.7-6.8-5.6-5.3-3.5-5.6
201 - 300-7.7-5.9-5.3-5.2-4.2-5.6
301 - 400-7.7-7.0-4.8-5.4-3.9-4.6
401 - 500-6.9-5.3-5.6-6.7-3.7-5.5
501 - 1,000-7.0-4.9-5.4-6.1-6.63.2
1,001 - 5,000-6.7-4.7-5.7-5.6-6.5-4.8
5,001 or more-5.8-1.8-7.0-5.4-4.2-5.8
All Orders-7.0-5.8-5.5-5.8-4.7-3.3
1/4 Spread
Order SizeNYSEBSECSECHXPHLXPSE
100-9.7-11.2-5.6-6.8-9.6-9.3
101 - 200-9.6-10.3-7.0-9.7-6.3-8.5
201 - 300-9.5-9.6-7.2-9.6-7.2-11.2
301 - 400-9.7-18.7-5.6-7.2-6.3-7.7
401 - 500-9.9-9.4-7.4-8.9-8.7-8.0
501 - 1,000-9.1-8.6-7-9.1-9.2-9.7
1,001 - 5,000-8.3-7.4-9.2-5.3-9.1-6.4
5,001 or more-7.0-16.7-6.2---6.3-19.6
All Orders-8.9-8.7-6.9-8.3-8.2-8.9
The ex-post transaction cost measure compares the execution price to the same-sided quote five
minutes after the execution took place. For example, to compute the cost of a limit order to buy,
the limit price is subtracted from the quoted bid price five minutes later. The more negative the
measure the more severe is the adverse selection cost faced by traders.
At-the quote limit orders to buy are priced at the NBBO bid and orders to sell are priced at the NBBO ask. .

Last modified: 1/24/2001