This paper discusses performance measures for market and limit orders. We suggest two measures: one for precommitted traders (who must trade) and another for passive traders (who are indifferent to trading). We compute these measures for a sample of NYSE SuperDOT orders. The results suggest that the limit order placement strategies most commonly used by NYSE SuperDOT traders do in fact perform best. Limit orders placed at or better than the prevailing quote perform better than do market orders, even after imputing a penalty for unexecuted orders, and after taking into account market order price improvement. Unconditional order submission strategies that use SuperDOT to offer liquidity in competition with the specialist do not appear to be profitable.
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Volume (Year): 31 (1996) Issue (Month): 02 (June) Pages: 213-231 Download reference. The following formats are available: HTML
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Thierry Foucault & Sophie Moinas & Erik Theissen, 2004.
"Does Anonymity Matter in Electronic Limit Order Markets?,"
Discussion Papers
3, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
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