Statistik › Intraday und Marktmikrostruktur › Price improvement
Your broker matters more than payment for order flow does
Price improvement as a percentage of the national best bid and offer spread, where 50% means the midpoint. From 74,801 analysed trades of about $100 each, placed simultaneously across six accounts at five brokers in 128 stocks, 21 December 2021 to 9 June 2022. Submission order was randomised, and submission-order effects are insignificant.
Wholesalers return 24% of the quoted spread as price improvement against 3% at exchanges, and 66% of shares they handle get some improvement. A controlled experiment placing identical orders at five brokers found payment for order flow explains about 3.4% of the difference between the best and worst.
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