We model a financial market where privately informed investors trade in a limit order book monitored by professional liquidity providers. Price competition between informed limit order submitters and professional market makers allows us to capture tradeoffs between informed limit and market...

We examine the impact of a rule in the Canadian equities market that requires dark orders to offer price improvement over displayed orders. We show that this rule eliminated intermediation of retail orders in the dark and shifted retail orders onto the lit market with the lowest trading fee....

In many jurisdictions, equity market regulation requires traders to honor the best quotes on all marketplaces, often forcing brokers to split client trades across multiple markets.Markets react strongly: we show that such split trades have double the price impact of single-market trades. The...