Order Price Improvement

Hi everyone and Happy New Year!

I have been reading about order “price improvement” over the last few days. This would be improvement over the BID/ASK spread for market orders. Folio Investing has been good for small orders as there are no commissions per trade for window orders. But for larger orders—where commissions represent a smaller percentage of the trade—is Folio Investing the best?

First, I have been comparing Window Orders to Market Orders and there is no (statistical) difference. Market orders have less slippage in my sample. But the numbers are close and probably the same. A window order is about like a market order with no commission, I think.

Brokers are required to make “Best Execution” by law. That does not always mean best price improvement. A broker can always say they have “Best Execution” based on speed reliability etc. And can they all really be the best? Maybe not.

First. Folio is paid to refer to a particular market maker. See image of SEC Rule 606 disclosure below. UK made this illegal and sees it as a conflict of interest. Several sources on the internet say this is a reason some brokers have little price improvement. Not all brokers get paid to make referrals.

Fidelity has been rated as having the best price improvement by many sources. I am told that they actually tell you how much price improvement there is for your trades and keep a running total of your savings during the year. The next 2 images are from Fidelity about their price improvement. The green image is for 1000 shares compared to the “Industry Average.”.

The last image is what Interactive Brokers has to say about its price improvement. This is largely to show that maybe there is an “Industry Average.” For some time periods IB and Fidelity post similar “Industry Averages.”

BTW, Folio Investing has little to say about price improvement. They just say: “….all orders are executed at prices equal to or better than the displayed applicable national best bid/offer price.” Which actually says nothing about whether there is ever any price improvement or how much price improvement there may be (if any). I wonder how they get rewarded for making my trades: if it is not in commissions is it for the referral of my trades? Why is there money left over for a “Rebate?” If a “Rebate” made no commissions possible then I will not complain. But in medicine a similar deal would fall under the Federal Anti-Kickback Statutes.

Time to move to Fidelity or Interactive Brokers? “Price Improvement” has the potential for being a greater factor than the commissions depending on how much difference there is in Fidelity vs Folio Investing for price improvement.

I like IB and I think I will ultimately take SUpirate1081’s advice. Which, I think, is use VWAP “Best Effort” avoid taking liquidity. I probably will not do this right away as I do not want to keep much cash in my SEP-IRA account and I don’t want to see if orders get filled re-submit orders etc. Also the commission on lower priced stocks is not low. But I very my appreciate SUpirate1081’s input and recognize the wisdom. I will try this when I have a margin account, more cash or more time.

Any ideas welcome.



I’ve had money at Folio for more than a decade. I’ve always been happy with executions. They do charge a quarterly custody fee, so you need an account of $50k before it makes sense. I’ve not been unhappy with my fills, though this platform is not at all for short term trading. Long term holds work well for window trades (two windows per day) where a few dollars slippage won’t make a big difference.

In my experience I see Folio as an order crossing system, matching buys and sells to in house accounts, with the remainder traded on the open market. Hence their execution cost is minimal.

Order routing has been around for a long time. There are rules guiding where and how to route. Paying for order flow has also been in play for a very long time.

They absolutely do not do this any longer. They posted it on their site when they made the change. I talked to them when they made the change (and confirmed the change).

And yea. That used to be good! I’m glad you remain happy with the executions but there was a noticeable change in the slippage.

Edit. In fact if you look at the 606 filing for Fidelity they do some cross trades now.



I use Fidelity and their price improvement is excellent. Last year I made 841 trades and paid $4,437.09 in commissions. 91 of those trades were price improved, for a total savings of $802.82. So basically Fidelity improved my prices more than ten percent of the time, and I got 18% of my $4.95 per trade back as a result.

I see the price improvements most often when I change an unfilled limit order to the ask price (for buying) or the bid price (for selling) to make sure I get a fill.

  • Yuval


Thank you and have a happy (trading) year!


Jim, your comment got me doing some detective work. While Folio may not themselves cross orders, they do send the lion’s share of trades to this crossing platform: https://www.virtu.com/trading-venues/matchit/about


Cool thanks. As do a lot of companies (in their 606).

But I did not realize that this company did any crossing.

So it remains an open question—one I cannot find any specific facts posted about anywhere—how does Folio Investing do compared to the “Industry Average?” But there is some evidence that there can be a differences between brokers and the difference can be significant.

So here is my broader economic (game theory question): if a restaurant does not post its health inspection ratings publicly what are the chances that it got an A? But you never really know for sure why you don’t see the A posting. Note: this health posting question is an example from “Games of Strategy” by Avinash Dixit et. al. A required text in many business schools. So not completely from left field but also not proof by any means.

Appreciate it!


Thank you Steve and Yuval for your comments.

I have moved some money to Fidelity and I am looking at this in a systematic way. I.E. by making the same trades on the same day for the same amount separated by at least on hour. And I flip a coin each time to see which broker goes first. I will look at the results the day that I break 30 matched (paired) trades. But I will keep some money in both accounts, for a while, and I will be very sure before I move all my money to one account or the other (possibly back to Folio).

So far, Fidelity is ahead but there are not enough trades to say anything one could hang their hat on (generally). However, remember the Tick Size Pilot Study? And remember that retail investors can get a break on this? As a reminder, copied from FINRA site:

“The pilot securities assigned to the second test group generally will be quoted in $0.05 increments, subject to limited exceptions. In addition, these securities also must trade in $0.05 minimum increments, subject to exceptions, including for executions at the midpoint of the national best bid and offer (NBBO), certain retail investor executions and negotiated trades.”

For a stock I purchased in my Fidelity account that was in the G2 category, the trade was executed at $11.03 with a nickel increment ASK of $11.05. For my Folio Investing account, at the time I traded this account (it won the toss and was traded first this time), the trade (buy) was for $11.25 with a Nickel increment ASK of $11.25 (no price improvement for Folio investing on this trade).

Looking back at several of my other trades with Folio Investing, my trades for stocks in the G2 category were always executed in Nickel increments.

So again, too early to say anything generally about price improvement. But Folio does not seem to give the retail investor any of the breaks that are allowed under the Tick Size Pilot Study while Fidelity will do this (has done this on at least one occasion). I will try to confirm it going forward and I hope to be able to make some general conclusions including whether any effect from the Tick Size Pilot Study Rules has practical significance.


Been very happy with IB execution. Normally, in our IB accounts, I use a limit order 1 penny from the last trade and it executes 95% of the time at that price or better.

Folio Investing does send a lot of business to Vitru Financial but not necessarily for cross trades–or at least I cannot find any specific information on what percentage of the orders sent there by Folio Investing end being a cross order. Vitru Financial makes it into the pages of “Flash Boys” by Michael Lewis. Not for cross trading however:

§ In early 2013, one of the largest high-frequency traders, Virtu Financial, publicly boasted that in five and a half years of trading it had experienced just one day when it hadn’t made money, and that the loss was caused by “human error.”

Lewis, Michael. Flash Boys: A Wall Street Revolt (p. 127). W. W. Norton & Company. Kindle Edition.

Side note, anyone that places more than a couple hundred trades per year should easily be able to negotiate a large discounted commission rate if you trade at Fidelity, Schwab, TD Ameritrade, etc. ~$3 or less.





Thank you for your comment! I have a lot to learn!!! I will certainly be trying IB in the future and trying some of the algos. For now I am just beginning to learn about Market and Limit orders. A few days ago, before I first posted on this thread, I did not even know about the NBBO and some of the requirements the NBBO places on a market maker/broker.

Regarding your trading technique: if your limit price ends up being at the ask does your order get counted as taking liquidity or adding liquidity (and do you get charged or get a rebate)? I assume both: some get filled immediately (taking liquidity) and some might go onto “the book” adding liquidity for larger buy orders that exceed the number of limit sell orders at the ASK price. Is there no market maker who can take your order before it arrives on “the book?” This is just a question I have about my own limit orders.

If I may, let me make an observation about your method. First my assumption: I assume you are dealing with larger trades with larger cap stocks for institutional investors (or larger orders) in which case you may be dealing with a lot of stocks that have a penny BID/ASK spread.

I am pretty sure: the last trade (before you make your trade) could have been at the BID or the ASK price (randomly). Ignoring any trades that might have been between the one cent spread you are placing 2 different types of limit orders randomly.

Again assuming a penny BID/ASK spread, no trades at a fraction of a cent and assuming we are talking about buy orders then some of your limit orders are at the ASK and some of your orders are a penny above the ASK. Not necessarily a 50/50 mix: depending on which way the market is moving and therefore whether the last trade occurred at the BID or at the ASK.

Is there a difference for you between those 2 types of trades? I am reading Flash Boy. There are all sorts of ways a large buy limit order a penny about the ASK could be gamed in a dark pool. At a minimum, a trader would want to buy the stock at the ASK, on one of the exchanges, and then sell it to you at one cent above the ASK (your limit price).

Maybe regulations stop this from occurring now and maybe there are no exchanges, or dark pools, that get information a little quicker than you do: in other words, maybe everything in Flash Boy no longer occurs. But actually, if you have a large order someone can do this legally can’t he? A person is allowed to get as much stock at the ASK as he/she wants (if he is able to) isn’t he? If your large order is not filled yet he/she can then sell you some stock: there probably is not any left at the old ASK price anyway and you probably really want it at that point. Granted a market maker that admits to knowing about all of the orders probably cannot do this legally—and could be caught if the NBBO (SIP) is fully updated with all of the orders. But do we know what everyone knows in the dark pools? They would not even have to know the full size of your order to have an advantage.

The question remains: of your two buy order types–at the ASK and a penny above the ASK–which does better? This is a rhetorical question that should be ignored if the question does not help you in any way.

Thank you again and please ignore any of the above comments that are based on total ignorance. The one thing I said that I am sure of is that I have a lot to learn.

I appreciate it!!!