Table V-21Average Ex-PostTransaction Costs for Limit Orders Entered on Each Exchange | Table V-21: Average Ex-PostTransaction Costs for Limit Orders Entered | | on Each Exchange | | | | | | | | | | | | | | | | | | | Cents per Share | | | | | | | | | | | Limit Order Type | | NYSE | BSE | BSE | CHX | CSE | PHLX | PSE | | | | CSI Stocks | Non-CSI Stocks | | | | | | Marketable | | | | | | | | | | 1/8 Spread | | -9.6 | -11.1 | -12.2 | -12.5 | -11.8 | -12.2 | -12.4 | | 1/4 Spread | | -14.0 | -18.7 | -17.6 | -21.1 | -13.4 | -18.5 | -18.3 | | | | | | | | | | | Quote Improving | | | | | | | | | | 1/8 Spread | | -- | -- | -- | -- | -- | -- | -- | | 1/4 Spread | | -8.9 | -10.7 | -10.8 | -10.7 | -8.4 | -10.0 | -10.2 | | | | | | | | | | | At-the Quote | | | | | | | | | | 1/8 Spread | | -7.0 | -4.6 | -6.8 | -5.8 | -5.5 | -4.7 | -3.3 | | 1/4 Spread | | -8.9 | -8.2 | -9.0 | -8.3 | -6.9 | -8.2 | -8.9 | | | | | | | | | | | The ex-post transaction cost measure compares the execution price to the same-sided quote five | | | | | | | | | | minutes after the execution took place. For example, to compute the cost of a limit order to buy, | | | | | | | | | | the limit price is subtracted from the quoted bid price five minutes later. The more negative the | | | | | | | | | | measure the more severe is the adverse selection cost faced by traders. | | | | | | | | |
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