[justinsaccount]

> average savings from price improvement is $10.80.

I wonder if they lie about this like Fidelity does.

If the market on some product is 100.00/100.06 with a mid price of 100.03, and I route an order at the mid price that is filled at 100.02 that is then a price improvement of 1 cent.

On Fidelity I've noticed they calculate everything off the asking price, and would say my price improvement was .04, which is not really right.

[esoterica]

Fidelity isn't lying. The price improvement IS .04, not .01.

https://www.sec.gov/reportspubs/investor-publications/invest...

> The opportunity for "price improvement" – which is the opportunity, but not the guarantee, for an order to be executed at a better price than what is currently quoted publicly

It's measured with reference to the quote, not your order price. Think about it, if you sent a limit order for $20.02 and got filled at $10.02, did you get $10 of price improvement?

[justinsaccount]

> if you sent a limit order for $20.02 and got filled at $10.02, did you get $10 of price improvement?

Yes. That's a rather extreme example, but If I route a limit order for X and get filled for Y, my price improvement is X-Y, not the asking price - X. I guess it depends on if you consider the price of something to be the mid price or the bid/ask price.

As far as I am concerned Fidelity IS lying. The market on the thing could be 100.00/100.10, with a LAST trade price of 100.05. I route a limit order for 100.05 and get filled at 100.05 and fidelity claims I got price improved by 5 cents, which is bullshit.

edit: also, that page you linked and quoted is specifically talking about market orders:

> Here's an example of how price improvement can work: Let's say you enter a market order to sell 500 shares of a stock...