EconPapers    
Economics at your fingertips  
 

Speed Segmentation on Exchanges: Competition for Slow Flow

Lisa Anderson, Emad Andrews, Baiju Devani, Michael Mueller and Adrian Walton

Staff Working Papers from Bank of Canada

Abstract: In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure. This suggests that Alpha attracts already-segmented flow from venues with fee structures other than maker-taker. Some heavy users of Alpha trade off improvements in fill rates and execution size against mildly larger effective spreads and price impacts. These heavy users also utilize larger market orders and fewer spray orders.

Keywords: Financial markets; Market structure and pricing (search for similar items in EconPapers)
JEL-codes: G14 G24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2018/01/swp2018-3.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:18-3

Access Statistics for this paper

More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-10-10
Handle: RePEc:bca:bocawp:18-3