1 Intraday Time and Order Execution Quality Dimensions

We examine intraday execution quality patterns on Nasdaq stocks using proprietary order-level data from a U.S. broker dealer. Orders submitted midday execute slower than orders submitted around the open and close. However, midday orders have lower execution costs. Our results indicate that execution speed and execution cost exhibit offsetting intraday time-dependent patterns and these patterns appear to be induced by variations in informed trading levels. While some traders concentrate their trading activity around the open and close, others prefer to trade midday. Traders have varying preferences for when to trade, and offsetting patterns exist between speed and cost. These factors highlight the complexity in defining an optimal trading time, which, among other things, is dependent on the dimensional preferences of individual traders