Why Do Traders Split Orders?

We examine factors that influence decisions by U.S. equity traders to execute a string of orders, in the same stock, in the same direction, around the same time. Order splitting is more likely to occur when traders submit larger-size orders and when market depth and trading activity are lower. Order splitters demand liquidity more and pay higher trading costs, but their overall performance is better. When controlling for execution time, split orders are more informative than single orders. Our results suggest that order splitting arises from a variety of factors, including informational differences, order and trader characteristics, and market conditions.