Table 2: Performance of Limit Orders Versus Market Orders Stock Days*
in Spread Classes 1/8 and 1/4, Price Range $10 to $20
| Spread Class = 1/8 (879 Stock-Days) |
Limit Order
Increment** |
Probability of
Execution |
Value of
Execution |
Probability of
Non-
Execution |
Cost of Non-
Execution |
Expected
Dollar Value
of Limit
Order |
As
Percentage of
Price |
| 0 |
100.0% |
$0.000 |
0.0% |
N/A |
$0.000 |
0.00% |
| 1/8 |
68.9% |
$0.125 |
31.1% |
($0.239) |
$0.012 |
0.10% |
| 1/4 |
38.2% |
$0.250 |
61.8% |
($0.170) |
($0.010) |
-0.07% |
| 3/8 |
24.5% |
$0.375 |
75.5% |
($0.136) |
($0.011) |
|
| 1/2 |
16.8% |
$0.500 |
83.2% |
($0.110) |
($0.007) |
-0.05% |
| 5/8 |
11.3% |
$0.625 |
88.7% |
($0.084) |
($0.004) |
-0.03% |
| 3/4 |
8.1% |
$0.750 |
91.9% |
($0.068) |
($0.002) |
-0.01% |
| 7/8 |
5.7% |
$0.875 |
94.3% |
($0.053) |
$0.000 |
0.00% |
| 1 |
4.2% |
$1.000 |
95.8% |
($0.044) |
$0.000 |
0.00% |
| |
| Spread Class = 1/4 (2,270 Stock-Days) |
| 0 |
100.0% |
$0.000 |
0.0% |
N/A |
$0.000 |
0.00% |
| 1/8 |
89.6% |
$0.125 |
10.4% |
($0.449) |
$0.066 |
0.48% |
| 1/4 |
53.5% |
$0.250 |
46.5% |
($0.251) |
$0.017 |
0.13% |
| 3/8 |
34.9% |
$0.375 |
65.1% |
($0.206) |
($0.003) |
-0.02% |
| 1/2 |
23.4% |
$0.500 |
76.6% |
($0.162) |
($0.007) |
-0.04% |
| 5/8 |
17.5% |
$0.625 |
82.5% |
($0.134) |
($0.001) |
-0.01% |
| 3/4 |
12.1% |
$0.750 |
87.9% |
($0.106) |
($0.002) |
|
-0.01%
| 7/8 |
9.0% |
$0.875 |
91.0% |
($0.086) |
$0.000 |
0.01% |
| 1 |
6.8% |
$1.000 |
93.2% |
($0.071) |
$0.002 |
0.01% |
Notes: *Stock-days equals number of stocks in a category times number of days in sample (16 Thursdays in 1996). Stock is excluded for a trading day if it had less than 20 trades that day.
**Buy orders placed at the opening ask minus the increment, sell orders at the opening bid plus the increment. Value of zero indicates market order.
http://www.sec.gov/rules/other/3437302/37302t2.htm
