RT Journal Article
SR Electronic
T1 Retail Order Flow Segmentation
JF The Journal of Trading
FD Institutional Investor Journals
SP 13
OP 23
DO 10.3905/jot.2018.13.3.013
VO 13
IS 3
A1 Corey Garriott
A1 Adrian Walton
YR 2018
UL https://pm-research.com/content/13/3/13.abstract
AB In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a new trading facility that enables participating organizations to quote dark limit orders available only to retail traders. The facility increased the information content of the order flow by distinguishing retail trades from relatively more informed trades. Stocks with substantial RLP activity experienced no material changes in relative bid–ask spreads, effective spreads, and price impacts, and had mildly decreased return autocorrelations.TOPICS: Simulations, exchanges/markets/clearinghouses