Clean Sweep: Informed Trading Through Intermarket Sweep Orders
Preprint
- 24 August 2009
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
An ISO is a limit order designated for automatic execution in a specific market center even when another market center is publishing a better quotation, as long as the trader submits concurrent orders to the other market. We find that ISOs represent 46% of trades and 41% of volume in our sample. ISO trades have significantly larger information share despite their small trade size relative to non-ISO trades. Post trade return analysis suggests that informed institutions are the main users of ISO trades.Keywords
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