Can Brokers Have It All? On the Relation between Make‐Take Fees and Limit Order Execution Quality
研究发现，那些为获取流动性回扣而路由订单的零售经纪人，其限价单执行质量反而更低，说明经纪人无法同时最大化回扣和执行质量。
ABSTRACT We identify retail brokers that seemingly route orders to maximize order flow payments, by selling market orders and sending limit orders to venues paying large liquidity rebates. Angel, Harris, and Spatt argue that such routing may not always be in customers’ best interests. For both proprietary limit order data and a broad sample of trades from TAQ, we document a negative relation between several measures of limit order execution quality and rebate/fee level. This finding suggests that order routing designed to maximize liquidity rebates does not maximize limit order execution quality and thus brokers cannot have it all.