Does the Limit Order Routing Decision Matter?

We examine the impact deciding to route limit orders away fromthe New York Stock Exchange (NYSE) has on three dimensions ofexecution quality with methodologies controlling for marketconditions and order submission strategies. Overall differencesin limit order execution quality between regional stock exchangesand the NYSE are small, suggesting that the order routing decisionmay not affect retail limit order traders substantively. Conditioningon the distance between the limit order's price and prevailingquotes, however, reveals systematic differences in executionquality. This implies that brokers can strategically route limitorders to improve retail limit order execution quality.