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Table V-8B

Frequency of Price Improvement in 1/4 Point Markets by Exchange and Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues

Table V-8B: Frequency of Price Improvement in 1/4 Point Markets by Exchange and
Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues


		Percent of Trades Price Improved

Order Size	Order Type	NYSE	BSE	CHX	CSE	PHLX	PSE

100 Shares	Market Orders	63.7	44.6	58.6	67.7	29.3	38.5
	Marketable Limits	46.2	38.4	1.2	58.6	16.8	22.5
	Both	62.4	44.1	55.7	67.2	28.7	37.5

101-200 Shares	Market Orders	61.6	43.4	57.0	66.6	27.9	36.4
	Marketable Limits	38.6	32.6	6.3	55.4	20.6	19.4
	Both	59.9	42.4	52.9	66.0	27.5	35.3

201-300 Shares	Market Orders	59.0	41.2	47.8	64.1	26.5	33.4
	Marketable Limits	34.7	34.2	7.1	64.6	18.3	22.0
	Both	56.8	40.5	44.4	64.2	26.0	32.6

301-400 Shares	Market Orders	57.0	43.8	47.5	63.2	29.1	33.8
	Marketable Limits	31.3	37.6	0.0	56.3	13.0	22.0
	Both	54.3	43.1	44.0	62.8	27.7	32.8

401-500 Shares	Market Orders	51.6	43.2	44.8	61.2	23.3	32.1
	Marketable Limits	25.3	25.4	4.1	47.0	11.0	20.4
	Both	46.6	40.8	38.7	60.0	21.9	30.8

501-1,000 Shares	Market Orders	47.9	38.2	40.9	54.8	24.3	30.4
	Marketable Limits	24.4	28.8	1.7	46.9	14.7	14.0
	Both	42.7	36.6	34.8	53.9	23.0	28.4

1,001-5,000 Shares	Market Orders	39.1	36.8	46.5	49.2	20.4	24.7
	Marketable Limits	18.1	26.8	5.6	36.0	14.6	11.2
	Both	32.1	35.0	41.4	46.9	19.3	22.2

5,001 or More Shares	Market Orders	37.0	30.0	80.0	42.8	22.2	15.2
	Marketable Limits	15.7	20.8	0.0	0.0	100.0	3.1
	Both	26.5	26.6	57.1	34.7	30.0	9.2

All Orders	Market Orders	54.1	42.2	53.7	63.8	27.2	34.7
	Marketable Limits	24.7	31.6	3.5	51.4	16.2	18.3
	Both	48.8	41.0	49.5	63.0	26.3	33.3

Last modified: 1/24/2001