Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/197825
Authors: 
Anderson, Lisa
Andrews, Emad
Devani, Baiju
Mueller, Michael
Walton, Adrian
Year of Publication: 
2018
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2018-3
Abstract: 
In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure. This suggests that Alpha attracts already-segmented flow from venues with fee structures other than maker-taker. Some heavy users of Alpha trade off improvements in fill rates and execution size against mildly larger effective spreads and price impacts. These heavy users also utilize larger market orders and fewer spray orders.
Subjects: 
Financial markets
Market structure and pricing
JEL: 
G14
G24
Document Type: 
Working Paper

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