Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/197825 
Year of Publication: 
2018
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2018-3
Publisher: 
Bank of Canada, Ottawa
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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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