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Showing 1 to 1 of 1 for “"Order Execution Quality"”.
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Order Execution Quality in Equity Options Markets
In Part 1, we examine the effects of an order cancellation fee on limit order behavior and execution quality on the NASDAQ OMX PHLX. We find that the cancellation fee is effective in reducing the rate at which limit orders are submitted and subsequently deleted. Order volume declines, however, the …