The Bruce Overnight Edge: If I Had a Nickel… (Executions in 5-Cent Spreads)

“If I had a nickel every time I was confident sending an order to a $0.05 wide market, I’d still have zero nickels…”.

Navigating spreads that contain multiple distinct price points can be tricky. Crossing the spread can feel like overpaying while seeking a better price by joining the market can leave you stranded with nothing done. In this week’s BOE, we are sharing some data from a study1 that looked at orders sent to Bruce when our market was $0.05 wide at the time of order arrival. Why a nickel? We looked at the data and nickel spreads represented a sweet spot with a large enough sample size. Can this data help Retail gain confidence executing in nickel spreads?

The First Nickel: Proprietary / Market Maker

If you read last week’s Rolling Stones inspired BOE you will remember that our Proprietary and Market Maker participants are the workhorses on Bruce ATS sending over 80% of the total orders. These orders ensure that Bruce ATS provides a tight, orderly, and lit market. The hard work of casting a wide net shows up in the chart below where these participants have relatively low hit² and fill³ rates.

Chart 1: Proprietary / Market Maker Hit and Fill Rates in $0.05 Spread Markets4

The Second Nickel: The Retail Experience

In the BOE, we constantly talk about how the overnight market is retail driven (see Under Retail Pressure and Retail in the Night, Part II for recent examples). This study shows yet again how Retail gets the rockstar treatment in the overnight market. The baseline hit rate for Retail orders in this study starts at almost 50% when the order joins and goes up from there. The baseline fill rate is a whopping 20%!

Chart 2: Retail Hit and Fill Rates in $0.05 Spread Markets

At every price point in nickel wide spreads, we saw Retail flow garner significantly higher Hit Rates and Fill Rates.

Table 1: Hit and Fill Rate Deltas between Retail and Proprietary / Market Maker orders

The conclusion is clear, Retail customers can be very confident executing in nickel spreads. Which price point is right for you? It depends on the urgency of your trade versus the desire to save a few nickels.

By The Numbers

Weekly Top 25 Symbols⁵

Bruce on Tour

• Join our CEO Jason Wallach at the FIX Conference in Hong Kong on May 14, 2026.
• Until May 15th, Jason is in Asia visiting clients in Singapore and Hong Kong. Reach out if you would like to schedule a meeting. Earlier this week, Jason enjoyed many productive meetings in South Korea.

The Bruce Markets Team

¹All data for this study is from internal Bruce ATS sources covering trade dates 04/01/2026 through 04/30/2026. The study only looked at new orders and did not cover cancel/replace or modified orders. The study only included orders where 1) time-in-force was DAY, 2) order price was above $1.00, 3) the Bruce Best Bid was above $1.00, and 4) the Bruce spread was exactly $0.05 wide. The study utilized an internal Bruce ATS classification to separate all activities into one of three segments (Retail, Proprietary/Market Maker, and Agency Broker). The study covered approximately 4.5M orders for 9.4B shares.

²Hit Rate is the percentage of orders that result in at least one traded share.

³Fill Rate is the percentage of total ordered share volume that gets executed.

⁴For all charts “Joins” means attempting to buy on the bid or sell on the offer. “Crosses” means attempting to buy at a price equal to or greater than the offer or sell at a price equal to or less than the bid.

⁵Top 25 data is from internal Bruce ATS sources through trade date 05/08/2026.