The Ping Pong Ball and Information Leakage
Candyce, this is a very interesting post. The ping pong ball analogy provides a good visual for the problem of orders bouncing from one equity venue another as the order seeks the best price or NBBO. So the question is, is it better to take a worse price (pay a bit more in trading costs) to avoid information leakage, or should the buy side expose their orders to multiple venues? In order to make that decision, the buy side needs to measure those costs. Are you seeing many buy side use the FIX tags mentioned to analyze the cost of venue hopping?