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U.S. Securities and Exchange Commission

Table 2: Performance of Limit Orders Versus Market Orders Stock Days*

in Spread Classes 1/8 and 1/4, Price Range $10 to $20

-0.01%
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)
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


Modified:10/25/1996