Does the Limit Order Routing Decision Matter?
研究限价订单从纽约证券交易所路由到其他交易所对执行质量的影响，发现整体差异小，但基于价格距离的条件分析显示存在系统性差异，为经纪人策略性路由提供依据。
We examine the impact deciding to route limit orders away from the New York Stock Exchange (NYSE) has on three dimensions of execution quality with methodologies controlling for market conditions and order submission strategies. Overall differences in limit order execution quality between regional stock exchanges and the NYSE are small, suggesting that the order routing decision may not affect retail limit order traders substantively. Conditioning on the distance between the limit order’s price and prevailing quotes, however, reveals systematic differences in execution quality. This implies that brokers can strategically route limit orders to improve retail limit order execution quality.