Table V-9A

Net Price Improvement Rates in 1/8 Point Markets by Exchange and Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues

Table V-9A: Net Price Improvement Rates in 1/8 Point Markets by Exchange and Order
Size for Market and Marketable Limit Orders in NYSE-Listed Issues
Percent of Trades Price Improved (Net)
Order SizeOrder TypeNYSEBSECHXCSEPHLXPSE
100 SharesMarket Orders13.45.82.17.33.54.1
Marketable Limits6.63.8-0.15.12.32.4
Both12.15.61.97.13.43.9
101-200 SharesMarket Orders13.25.62.57.13.43.6
Marketable Limits5.53.4-0.14.21.82.1
Both11.85.42.16.83.23.4
201-300 SharesMarket Orders11.45.62.66.72.93.2
Marketable Limits4.74.2-0.14.10.91.6
Both9.85.42.16.52.73.0
301-400 SharesMarket Orders11.05.32.06.22.93.0
Marketable Limits3.93.8-0.12.80.72.0
Both9.05.11.75.82.72.9
401-500 SharesMarket Orders8.73.92.35.72.82.3
Marketable Limits3.71.7-0.34.01.51.7
Both6.73.51.75.42.62.2
501-1,000 SharesMarket Orders6.94.41.54.31.41.5
Marketable Limits3.23.2-0.31.91.21.3
Both5.24.11.03.81.41.4
1,001-5,000 SharesMarket Orders0.83.22.92.8-1.0-1.3
Marketable Limits2.32.4-0.32.20.30.8
Both1.83.02.02.6-0.6-0.6
5,001 or More SharesMarket Orders-3.81.117.8-1.5-6.1-5.6
Marketable Limits1.7-0.4-2.5-1.0-8.00.9
Both0.60.514.6-1.3-7.1-1.8
All OrdersMarket Orders9.15.12.36.42.92.9
Marketable Limits3.23.0-0.23.41.31.6
Both6.64.81.96.02.72.7

Last modified: 1/24/2001