University Study on Best Order Fills (Spoiler: TDA wins)

[Jeff S. 1]

I came across this recent study by researchers from multiple universities.  They analyzed a number of brokers including TDA, IBKR, Robinhood, Fidelity and E-Trade.  IBKR Pro had the worst price improvement (market order fills compared to the NBBO) at about $0.03/share.  TDA had the best price improvement at almost $0.08/share.  IBKR Pro beat the NBBO about 76% of the time while TDA beat the NBBO 99% of the time.  The only potential caveat is they traded very small share sizes - something they felt wasn't an issue. 

The researchers conclude: "The dispersion is due to off-exchange wholesalers systematically giving different execution prices for the same trades to different brokers."  Perhaps that is because, according to the study, TDA has over twice as many Daily Average Trades than IBKR - so they are given better prices.

The 'Actual Retail Price' of Equity Trades by Christopher Schwarz, Brad M. Barber, Xing Huang, Philippe Jorion, Terrance Odean :: SSRN