Institutional Order Handling and Broker-Affiliated Trading Venues
利用详细订单数据发现，将更多订单路由至关联另类交易系统的机构经纪商，其执行质量更低（成交率下降、执行缺口成本上升）。研究结果支持提高订单路由透明度以改善执行质量。
Abstract Using detailed order handling data, we find that institutional brokers who route more orders to affiliated alternative trading systems (ATSs) are associated with lower execution quality (i.e., lower fill rates and higher implementation shortfall costs). To separate clients’ preference for ATSs from brokers’ routing decisions, we confirm these results for orders where brokers have more order handling discretion, matched broker analysis that accounts for ATS usage, matched child orders that account for client intent, and based on an exogenous constraint on ATS venue choice. Our results suggest that increased transparency of order routing practices will improve execution quality.