Table V-8C

Frequency of Price Improvement in 3/8 Point Markets by Exchange and Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues

Table V-8C: Frequency of Price Improvement in 3/8 Point Markets by Exchange and
Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues
Percent of Trades Price Improved
Order SizeOrder TypeNYSEBSECHXCSEPHLXPSE
100 SharesMarket Orders74.170.454.777.347.362.7
Marketable Limits53.675.03.777.731.840.7
Both72.170.751.277.346.561.2
101-200 SharesMarket Orders70.367.653.767.147.057.0
Marketable Limits57.961.10.060.031.342.9
Both69.266.550.066.645.856.1
201-300 SharesMarket Orders64.970.638.271.743.647.2
Marketable Limits52.986.70.00.00.052.9
Both63.873.035.170.041.447.6
301-400 SharesMarket Orders61.567.445.260.047.458.9
Marketable Limits40.350.00.00.012.533.3
Both59.363.243.856.244.257.5
401-500 SharesMarket Orders52.268.436.865.539.950.6
Marketable Limits39.146.70.00.025.035.0
Both50.164.833.359.337.048.9
501-1,000 SharesMarket Orders45.068.642.554.224.642.7
Marketable Limits31.544.40.050.017.425.5
Both42.664.435.453.323.639.9
1,001-5,000 SharesMarket Orders31.650.828.355.523.136.7
Marketable Limits19.525.00.050.025.026.1
Both28.645.726.055.023.633.7
5,001 or More SharesMarket Orders38.9--2.4----0.0
Marketable Limits18.3--------0.0
Both34.3--2.4----0.0
All OrdersMarket Orders57.367.546.668.642.954.5
Marketable Limits35.955.61.452.023.835.0
Both54.265.843.167.341.052.6

Last modified: 1/24/2001