Order Cancellations, Fees, and Execution Quality in U.S. Equity Options
研究了费城期权交易所对专业订单流收取取消费用如何影响限价订单流和执行质量，发现费用降低了取消率，提高了非可市订单成交率，但降低了可市订单成交速度并扩大了买卖价差。
Abstract We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also find slight increases in both dollar volume and market share. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.