The Regulation National Market System (Reg NMS) links fragmented stock exchanges by routing orders to the National Best Bid and Offer (NBBO). As the NBBO ignores exchange fees, 62% of routings lead to worse net prices. An increase in fee differences increases the market share captured by orders that refuse Reg NMS routings, particularly for stocks whose fees account for a large portion of transaction costs. Heterogeneous opportunity costs rationalize routing choices: non-routable orders entail lower non-execution costs than routable orders. Our results indicate that fees and clientele segmentation drive the proliferation of order types in the Reg NMS era.

监管全国市场系统 (Reg NMS) 通过将订单发送至全国最佳买卖价 (NBBO) 来链接零散的证券交易所。由于 NBBO 忽略了交易所费用，62% 的路由导致更差的净价。费用差异的增加增加了拒绝 Reg NMS 路由的订单所占据的市场份额，特别是对于费用占交易成本很大一部分的股票。异构机会成本使路由选择合理化：不可路由的订单比可路由的订单具有更低的非执行成本。我们的结果表明，费用和客户细分推动了 Reg NMS 时代订单类型的激增。