Table V-22Average Ex-Post Transaction Costs of At-the-Quote Limit Orders Entered on Each Exchange | Table V-22: Average Ex-Post Transaction Costs of At-the-Quote | | Limit Orders Entered on Each Exchange | | | | | | | | | | | | | | | | | | 1/8 Spread | | | | | | | | | | | | Cents Per Share | | | | | | | | | | | | | Order Size | | NYSE | BSE | CSE | CHX | PHLX | PSE | | 100 | | -7.9 | -7.1 | -5.7 | -5.6 | -5.1 | -5.4 | | 101 - 200 | | -7.7 | -6.8 | -5.6 | -5.3 | -3.5 | -5.6 | | 201 - 300 | | -7.7 | -5.9 | -5.3 | -5.2 | -4.2 | -5.6 | | 301 - 400 | | -7.7 | -7.0 | -4.8 | -5.4 | -3.9 | -4.6 | | 401 - 500 | | -6.9 | -5.3 | -5.6 | -6.7 | -3.7 | -5.5 | | 501 - 1,000 | | -7.0 | -4.9 | -5.4 | -6.1 | -6.6 | 3.2 | | 1,001 - 5,000 | | -6.7 | -4.7 | -5.7 | -5.6 | -6.5 | -4.8 | | 5,001 or more | | -5.8 | -1.8 | -7.0 | -5.4 | -4.2 | -5.8 | | | | | | | | | | All Orders | | -7.0 | -5.8 | -5.5 | -5.8 | -4.7 | -3.3 | | | | | | | | | | | | | | | | | | 1/4 Spread | | | | | | | | | | | | | | | | | Order Size | | NYSE | BSE | CSE | CHX | PHLX | PSE | | 100 | | -9.7 | -11.2 | -5.6 | -6.8 | -9.6 | -9.3 | | 101 - 200 | | -9.6 | -10.3 | -7.0 | -9.7 | -6.3 | -8.5 | | 201 - 300 | | -9.5 | -9.6 | -7.2 | -9.6 | -7.2 | -11.2 | | 301 - 400 | | -9.7 | -18.7 | -5.6 | -7.2 | -6.3 | -7.7 | | 401 - 500 | | -9.9 | -9.4 | -7.4 | -8.9 | -8.7 | -8.0 | | 501 - 1,000 | | -9.1 | -8.6 | -7 | -9.1 | -9.2 | -9.7 | | 1,001 - 5,000 | | -8.3 | -7.4 | -9.2 | -5.3 | -9.1 | -6.4 | | 5,001 or more | | -7.0 | -16.7 | -6.2 | -- | -6.3 | -19.6 | | | | | | | | | | All Orders | | -8.9 | -8.7 | -6.9 | -8.3 | -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. | | | | | | | | | | | | | | | | | At-the quote limit orders to buy are priced at the NBBO bid and orders to sell are priced at the NBBO ask. . | | | | | | | |
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