Do (Should) Brokers Route Limit Orders to Options Exchanges That Purchase Order Flow?
研究了期权交易所的定价表如何影响做市商的订单路由行为和限价单执行质量，发现部分做市商通过将非可市价订单发送到提供大额流动性回扣的交易所来最大化订单流价值，而另一些则绕过回扣，将订单发送到购买订单流的交易所。
Abstract We examine whether options exchanges’ pricing schedules affect broker order routing behavior and limit order execution quality. We find that some brokers seemingly maximize the value of their order flow by selling marketable orders and sending nonmarketable orders to exchanges that offer large liquidity rebates. Other brokers appear to bypass liquidity rebates by routing both marketable and nonmarketable orders to exchanges that purchase order flow. Using a decision by the Philadelphia Stock Exchange (PHLX) to change its trading protocol, we provide empirical evidence that brokers can enhance limit order execution quality by routing nonmarketable limit orders to options exchanges that purchase order flow.