IDEAS home Printed from https://ideas.repec.org/a/oup/rfinst/v33y2020i4p1534-1564..html
   My bibliography  Save this article

Order Cancellations, Fees, and Execution Quality in U.S. Equity Options

Author

Listed:
  • Todd G Griffith
  • Robert A Van Ness

Abstract

We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also find slight increases in both dollar volume and market share.ReceivedMay 22, 2018; editorial decisionMay27, 2019 by Editor AndrewKarolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Suggested Citation

  • Todd G Griffith & Robert A Van Ness, 2020. "Order Cancellations, Fees, and Execution Quality in U.S. Equity Options," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1534-1564.
    • Handle: RePEc:oup:rfinst:v:33:y:2020:i:4:p:1534-1564.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rfs/hhz088
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:33:y:2020:i:4:p:1534-1564.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sfsssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.