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Retail Order Flow Segmentation

Corey Garriott and Adrian Walton
The Journal of Trading (Retired) Summer 2018, 13 (3) 13-23; DOI: https://doi.org/10.3905/jot.2018.13.3.013
Corey Garriott
is in Market Structure and Regulation at the Bank of Canada in Ottawa, Canada
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Adrian Walton
is in Market Structure and Regulation at the Bank of Canada in Ottawa, Canada
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Abstract

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

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The Journal of Trading: 13 (3)
The Journal of Trading (Retired)
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Retail Order Flow Segmentation
Corey Garriott, Adrian Walton
The Journal of Trading (Retired) Jul 2018, 13 (3) 13-23; DOI: 10.3905/jot.2018.13.3.013

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Retail Order Flow Segmentation
Corey Garriott, Adrian Walton
The Journal of Trading (Retired) Jul 2018, 13 (3) 13-23; DOI: 10.3905/jot.2018.13.3.013
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