Order submission strategies vary according to the characteristics of exchanges not only
because of market characteristics but also because of execution quality. NYSE traders submit
more market and marketable limit orders when the effective spread is narrow, the fill rate is
low, the execution speed is fast, the cancel rate is low, and price improvement is high. On the
other hand, transaction costs do not affect NASDAQ traders as much as NYSE traders
because of preferencing. However, more market orders are placed on NASDAQ when the fill
rate is high, the execution speed is slow, the cancel rate is high, and price improvement is
low. Marketable limit orders are frequently placed on NASDAQ when the fill rate is low, the
execution speed is fast, and price improvement is high. For limit orders, the realized spread is
positively related to the number of orders on both exchanges. Traders are likely to submit
more limit orders when the fill rate is low, the execution speed is fast, and the cancel rate is
high. The execution quality reports help traders make a decision
Keywords：Order Strategy, Market Order, Marketable Limit Order, Limit Order, Execution Quality,
Transaction Costs