Retail Execution Quality Statistics (Q4 2020)
Schwab regularly monitors the execution quality obtained to ensure orders are routed to market venues that have provided high quality executions over time. While many quantitative and qualitative factors go into determining routing decisions, the following statistics are intended to provide some perspective on the execution quality provided to retail investors.
S&P 500 Stocks
| Order Size Range (Shares) | Average Order Size (Shares) | Shares Executed at Current Market Quote or Better (%) | Price Improvement (%) | Average Savings Per Order ($) | Average Execution Speed (Seconds) |
|---|---|---|---|---|---|
| 1 - 99 | 18 | 99.3% | 95.7% | $0.82 | 0.05 |
| 100 - 499 | 180 | 99.2% | 95.8% | $4.95 | 0.05 |
| 500 - 1,999 | 852 | 98.7% | 93.7% | $14.48 | 0.08 |
| 2,000 - 4,999 | 2,672 | 97.8% | 91.8% | $25.12 | 0.05 |
Comments
*Table data is derived from S&P 500 market orders.
*These statistics are produced on a best efforts basis and provided "as is" without warranty of any type.
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Definitions:
- Order Size Range (Shares) – Orders have been grouped into different order size ranges as follows 1 – 99 shares, 100- 499 shares, 500 – 1,999 shares, and 2000 – 4,999 shares.
- Average Order Size (Shares): Measured as the average order size within each order size range.
- Shares Executed at Current Market Quote or Better (%): Measured as the percentage of shares that receive price improvement (an execution priced better than the National Best Bid/Offer at the time of order routing) plus the percentage of shares executed at the National Best Bid/Offer at the time of order routing.
- Price Improvement (%): Measured as the percentage of shares that receive price improvement. Price improvement is defined as an execution priced better than the National Best Bid/Offer at the time of order routing.
- Average Savings per Order ($): Measured as the net notional dollar value of price improvement per share multiplied by the number of executed shares given to clients divided by the total number of executed orders: [(Net price improvement per Share * Executed Shares) / Executed Orders].
- Average Execution Speed (Seconds): Measured from the order route time to execution time.1
FAQs
- What orders are covered by these statistics?
- The definitions of many of the statistics provided refer to the National Best Bid /Offer (NBBO). What is the National Best Bid/Offer (NBBO)?
- Why are there different rows based on order size ranges?
- What does average order size tell you?
- What does the "Shares Executed at Current Market Quote or Better" column represent?
- What does the "Price Improvement" column tell me?
- What does the "Average Saving per Order" column tell me?
- In some cases the average saving per order may be negative. Why does this situation occur?
- Why does the average execution speed matter? How do I interpret that number?
- Where can I go for information about order routing destinations for my trades?