Table V-10CAverage Dollar Per Trade Net Price Improvement in 3/8 Point Markets by Exchange and Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues | Table V-10C: Average Dollar Per Trade Net Price Improvement in 3/8 Point Markets | | by Exchange and Order Size for Market and Marketable Limit Orders in | | NYSE-Listed Issues | | | | | | | | | | | | | | | | | Dollars Per Trade | | | | | | | | | | | | | Order Size | Order Type | | NYSE | BSE | CHX | CSE | PHLX | | | | | PSE | | | | | | | | | | | | | | | 100 Shares | Market Orders | | 12.88 | 11.93 | 9.29 | 10.02 | 7.75 | | | | | 9.05 | | Marketable Limits | | 10.97 | 11.46 | -1.18 | -6.94 | 2.84 | | | | | 3.24 | | Both | | 12.70 | 11.90 | 8.76 | 8.69 | 7.47 | | | | | 8.64 | | | | | | | | | | | | | | | 101-200 Shares | Market Orders | | 18.90 | 19.60 | 17.34 | 16.73 | 10.83 | | | | | 17.17 | | Marketable Limits | | 20.01 | 17.54 | 1.56 | 25.00 | 5.72 | | | | | 9.70 | | Both | | 19.00 | 19.24 | 16.07 | 17.30 | 10.42 | | | | | 16.25 | | | | | | | | | | | | | | | 201-300 Shares | Market Orders | | 23.60 | 33.43 | 19.67 | 51.99 | 21.12 | | | | | 19.52 | | Marketable Limits | | 24.23 | 33.02 | 2.68 | 0.00 | 0.00 | | | | | 20.71 | | Both | | 23.66 | 33.36 | 18.28 | 50.69 | 20.02 | | | | | 19.59 | | | | | | | | | | | | | | | 301-400 Shares | Market Orders | | 33.59 | 39.20 | 26.23 | -1.42 | 48.60 | | | | | 31.05 | | Marketable Limits | | 30.00 | 33.63 | 0.00 | 0.00 | 12.50 | | | | | 16.67 | | Both | | 33.25 | 37.83 | 24.28 | -1.33 | 45.24 | | | | | 30.29 | | | | | | | | | | | | | | | 401-500 Shares | Market Orders | | 26.80 | 49.50 | 37.73 | -19.18 | 4.67 | | | | | 26.18 | | Marketable Limits | | 35.81 | 49.76 | -7.65 | 0.00 | 15.63 | | | | | 24.63 | | Both | | 28.26 | 49.55 | 30.91 | -17.38 | 6.79 | | | | | 26.01 | | | | | | | | | | | | | | | 501-1,000 Shares | Market Orders | | 49.95 | 71.29 | 46.86 | -23.12 | -0.17 | | | | | 38.72 | | Marketable Limits | | 45.29 | 48.38 | -2.12 | 58.43 | 26.64 | | | | | 23.53 | | Both | | 49.13 | 67.95 | 39.23 | -14.76 | 3.76 | | | | | 36.24 | | | | | | | | | | | | | | | 1,001-5,000 Shares | Market Orders | | 85.80 | 32.34 | 177.34 | 105.20 | 54.80 | | | | | 30.41 | | Marketable Limits | | 102.96 | 43.20 | -12.50 | -375.00 | 21.20 | | | | | 83.31 | | Both | | 89.87 | 34.06 | 153.78 | 57.18 | 45.02 | | | | | 45.07 | | | | | | | | | | | | | | | 5,001 or More Shares | Market Orders | | -294.00 | 250.00 | 2272.50 | -- | -- | | | | | -- | | Marketable Limits | | 294.87 | -- | 0.00 | -- | -- | | | | | -- | | Both | | -152.23 | 250.00 | 1623.21 | -- | -- | | | | | -- | | | | | | | | | | | | | | | All Orders | Market Orders | | 27.38 | 32.70 | 27.68 | 15.26 | 13.18 | | | | | 19.45 | | Marketable Limits | | 51.83 | 33.57 | -2.06 | -18.15 | 12.57 | | | | | 27.68 | | Both | | 30.60 | 32.82 | 25.21 | 12.76 | 13.12 | | | | | 20.26 |
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Last modified: 1/24/2001 |
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