		Home \| Jobs \| Fast Answers \| Site Map \| Search

Litigation

Divisions

Table V-18

Fill Rates for At-the-Quote Limit Orders for Each Exchange


Table V-18: Fill Rates for At-the-Quote Limit Orders for Each Exchange


1/8 Spread
	NYSE	BSE	CHX	CSE	PHLX	PSE
	(% of orders completely filled)
Order Size
100	54.1	83.4	73.5	85.6	82.0	77.0
101 - 200	49.1	76.8	67.6	82.8	78.4	73.4
201 - 300	45.7	63.5	61.0	83.0	77.8	70.5
301 - 400	43.5	67.6	62.2	78.9	75.2	67.5
401 - 500	46.2	73.1	59.6	78.0	75.0	64.5
501 - 1,000	48.7	67.3	53.8	73.8	52.2	60.6
1,001 - 5,000	49.1	45.4	46.0	68.2	58.9	53.2
5,001 or more	49.4	11.5	31.3	70.4	21.1	47.3
All Orders	48.6	66.8	60.9	77.8	67.3	65.8

Partial Fill %	3.3	6.1	3.3	1.8	1.1	2.6
Partial or Complete Fill %	51.9	72.9	64.2	79.6	68.4	78.4

Number of Orders	418,127	1,341	7,841	15,772	11,722	20,920


1/4 Spread
	NYSE	BSE	CHX	CSE	PHLX	PSE
	(% of orders completely filled)
Order Size
100	32.3	59.4	55.4	73.5	65.9	59.1
101 - 200	31.7	74.2	48.2	65.9	55.8	55.3
201 - 300	28.9	54.2	48.4	61.7	57.7	49.8
301 - 400	27.6	36.4	38.8	63.6	47.9	57.1
401 - 500	29.1	57.1	37.7	66.2	40.0	47.7
501 - 1,000	32.9	76.1	38.4	61.7	44.5	43.2
1,001 - 5,000	36.0	45.2	35.3	57.1	33.5	39.2
5,001 or more	43.0	20.0	--	54.5	40.0	43.8
All Orders	33.0	60.2	44.7	64.7	49.3	49.8

Partial Fill %	2.2	2.5	0.8	1.0	0.9	1.4
Partial or Complete Fill %	35.2	62.7	45.5	65.8	50.2	51.2

Number of Orders	105,690	201	1,247	1,257	1,481	2,754

This table represents one week of data for NYSE and BSE and four weeks of data
for all other exchanges.

Last modified: 1/24/2001