Disclosure of information on order execution practices of market centers
How can investors utilize it?
DOI:
https://doi.org/10.61190/fsr.v13i2.4790Keywords:
Analytic hierarchy process, Market centers, Market microstructure, SEC Rule, SEC Rule IIAc1-5, Order execution qualityAbstract
The U.S. Securities and Exchange Commission has recently adopted Ruic 11 Ac1-5 that requires market centers to disclose statistical information regarding their order execution practices. The rule enables investors to assess the quality of execution for different types and sizes of orders in market centers. This paper develops a framework for comparing order execution quality across competing market centers by utilizing the data set made available as a result or the new rule. Different investors may have different preferences related lo the execution quality of their orders. Our framework allows investors to incorporate their preferences as well as order types and sizes into the measurement of execution quality.
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