§ 242.605 - Disclosure of order execution information.

§ 242.605 Disclosure of order execution information.

Cross Reference

Link to an amendment published at 89 FR 26614, Apr. 15, 2024.

This section requires market centers, brokers, and dealers to make available standardized, monthly reports of statistical information concerning their order executions. This information is presented in accordance with uniform standards that are based on broad assumptions about order execution and routing practices. The information will provide a starting point to promote visibility and competition on the part of market centers and broker-dealers, particularly on the factors of execution price and speed. The disclosures required by this section do not encompass all of the factors that may be important to investors in evaluating the order routing services of a broker-dealer. In addition, any particular market center, broker, or dealer's statistics will encompass varying types of orders routed by different broker-dealers on behalf of customers with a wide range of objectives. Accordingly, the statistical information required by this section alone does not create a reliable basis to address whether any particular broker-dealer failed to obtain the most favorable terms reasonably available under the circumstances for customer orders.

(a) Monthly electronic reports by market centers, brokers, and dealers.

(1) Every market center, broker, or dealer shall make available for each calendar month, in accordance with the procedures established pursuant to paragraph (a)(23) of this section, a report on the covered orders in NMS stocks that it received for execution from any person . Such report shall or that it received for execution in a prior calendar month but which remained open. Any OTC market maker that provides a trading system for only a single dealer to solely buy and sell securities against all other persons entering orders in that system shall produce a separate report pertaining only to covered orders entered in such trading system. Alternative trading systems (as defined in § 242.300(a)) shall prepare reports separately from their broker-dealer operators to the extent such entities are required to prepare reports. Each report shall be in electronic form; shall be categorized by security, order type, and order size; and shall include the following columns of information:

(i) For market orders, marketable limit orders, insidemarketable immediate-the-quote or-cancel orders, midpoint-or-better limit orders, atmidpoint-theor-quote better limit orders , and near-the-quote limit ordersthat are immediate-or-cancel, executable non-marketable limit orders, executable non-marketable limit orders that are immediate-or-cancel, executable market orders submitted with stop prices, executable stop marketable limit orders, and executable stop non-marketable limit orders:

(A) The number of covered orders;

(B) The cumulative notional value of covered orders;

(C) The cumulative number of shares of covered orders;

(

C

D) The cumulative number of shares of covered orders cancelled prior to execution;

(

D

E) The cumulative number of shares of covered orders executed at the receiving market center, broker, or dealer (excluding shares that the market center, broker, or dealer executes on a riskless principal basis);

(

E

F) The cumulative number of shares of covered orders executed at any other venue;

(

F

G) The cumulative number of shares of covered orders executed

from 0 to 9 seconds

less than 100 microseconds after the time of order receipt; or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable;

(H) The cumulative number of shares of covered orders executed from 100 microseconds to less than 1 millisecond after the time of order receipt;

(G

or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable ;

(I) The cumulative number of shares of covered orders executed from 1 millisecond to less than 10

to 29 seconds

milliseconds after the time of order receipt; or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable;

(J) The cumulative number of shares of covered orders executed from 10 milliseconds to less than 1 second after the time of order receipt;

(H

or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable;

(K) The cumulative number of shares of covered orders executed from

30 seconds to 59

1 second to less than 10 seconds after the time of order receipt;

(I

or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable;

(L) The cumulative number of shares of covered orders executed from

60

10 seconds to

299

less than 30 seconds after the time of order receipt;

(J

or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable;

(M) The cumulative number of shares of covered orders executed from

5 minutes to 30 minutes

30 seconds to less than 5 minutes after the time of order receipt; or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable;

(N) The cumulative number of shares of covered orders executed 5 minutes or more after the time of order receipt;

and(K) The average realized spread for executions of covered orders;

or, for non-marketable limit orders or orders submitted with stop prices, after the time the order becomes executable;

(O) For executions of covered orders, the average realized spread as calculated 50 milliseconds after the time of execution;

(P) For executions of covered orders, the average percentage realized spread as calculated 50 milliseconds after the time of execution;

(Q) For executions of covered orders, the average realized spread as calculated 1 second after the time of execution;

(R) For executions of covered orders, the average percentage realized spread as calculated 1 second after the time of execution;

(S) For executions of covered orders, the average realized spread as calculated 15 seconds after the time of execution;

(T) For executions of covered orders, the average percentage realized spread as calculated 15 seconds after the time of execution;

(U) For executions of covered orders, the average realized spread as calculated 1 minute after the time of execution;

(V) For executions of covered orders, the average percentage realized spread as calculated 1 minute after the time of execution;

(W) For executions of covered orders, the average realized spread as calculated 5 minutes after the time of execution;

(X) For executions of covered orders, the average percentage realized spread as calculated 5 minutes after the time of execution;

(Y) For executions of covered orders, the average midpoint; and

(ii) For market orders, marketable limit orders, marketable immediate-or-cancel orders, midpoint-or-better limit orders, midpoint-or-better limit orders that are immediate-or-cancel, executable market orders submitted with stop prices, and executable stop marketable limit orders:

(A) The average effective spread for For executions of covered orders, the average quoted spread;

(B) For executions of covered orders, the average effective spread;

(C) For executions of covered orders, the average percentage effective spread;

(

B)

D) For executions of covered orders, the average effective divided by the average quoted spread, expressed as a percentage;

(E) The cumulative number of shares of covered orders executed with price improvement;

(

C

F) For shares executed with price improvement, the share-weighted average amount per share that prices were improved;

(

D

G) For shares executed with price improvement, the share-weighted average period from the time of order receipt to the time of order execution

;(E

, expressed in increments of a millisecond or finer, or, in the case of midpoint-or-better limit orders, midpoint-or-better limit orders that are immediate-or-cancel, executable market orders submitted with stop prices, and executable stop marketable limit orders, from the time such orders first become executable to the time of order execution, expressed in increments of a millisecond or finer;

(H) The cumulative number of shares of covered orders executed at the quote;

(

F

I) For shares executed at the quote, the share-weighted average period from the time of order receipt to the time of order execution

;(G

, expressed in increments of a millisecond or finer, or, in the case of midpoint-or-better limit orders, midpoint-or-better limit orders that are immediate-or-cancel, executable market orders submitted with stop prices, and executable stop marketable limit orders, from the time such orders first become executable to the time of order execution, expressed in increments of a millisecond or finer;

(J) The cumulative number of shares of covered orders executed outside the quote;

(

H

K) For shares executed outside the quote, the share-weighted average amount per share that prices were outside the quote;

and

(

I

L) For shares executed outside the quote, the share-weighted average period from the time of order receipt, expressed in increments of a millisecond or finer, or, in the case of midpoint-or-better limit orders, midpoint-or-better limit orders that are immediate-or-cancel, executable market orders submitted with stop prices, and executable stop marketable limit orders, from the time such orders first become executable to the time of order execution, expressed in increments of a millisecond or finer;

(M) The cumulative number of shares of covered orders executed with price improvement relative to the best available displayed price;

(N) For shares executed with price improvement relative to the best available displayed price, the share-weighted average amount per share that prices were improved as compared to the best available displayed price;

(O) The cumulative number of shares of covered orders executed at the best available displayed price;

(P) The cumulative number of shares of covered orders executed outside the best available displayed price;

(Q) For shares executed outside the best available displayed price, the share-weighted average amount per share that prices were outside the best available displayed price;

(R) For executions of covered orders, the cumulative number of shares of the order size benchmark;

(S) The sum of, for each execution of a covered order, the greater of: the total number of shares executed with price improvement plus the total number of shares executed at the quote minus the order size benchmark, or zero; and

(iii) For midpoint-or-better limit orders, midpoint-or-better limit orders that are immediate-or-cancel, executable non-marketable limit orders, executable non-marketable limit orders that are immediate-or-cancel, and executable stop non-marketable limit orders:

(A) The number of covered orders that received either a complete or partial fill;

(B) The cumulative number of shares executed regular way at prices that could have filled the order while the order was in force, as reported pursuant to an effective transaction reporting plan or effective national market system plan. For each order, the share count shall be capped at the order size;

(C) The cumulative number of shares executed regular way on any national securities exchange at prices that could have filled the order while the order was in force, as reported pursuant to an effective transaction reporting plan or effective national market system plan. For each order, the share count shall be capped at the order size; and

(D) For shares executed, the share-weighted average period from the time the order becomes executable to the time of order execution expressed in increments of a millisecond or finer.

(2) Every market center, broker, or dealer shall make publicly available for each calendar month a report providing summary statistics on all covered orders that are market and marketable limit orders that it received for execution from any person. Such report shall be made available as an electronic file using the most recent version of the schema for comma separated values format (CSV) and the associated PDF renderer as published on the Commission's website for all reports required by this paragraph (a)(2). Such report shall include a section for NMS stocks that are included in the S&P 500 Index as of the first day of that month and a section for other NMS stocks. Each section shall be categorized by order type (market orders or marketable limit orders) and order size (less than $250, $250 to less than $1,000, $1,000 to less than $5,000, $5,000 to less than $10,000, $10,000 to less than $20,000, $20,000 to less than $50,000, $50,000 to less than $200,000, $200,000 or more, and all order sizes combined, excluding orders with a notional value of $200,000 or more), and shall include the following columns of information:

(i) The average order size in shares;

(ii) The average notional order size;

(iii) For executions of covered orders, the average midpoint;

(iv) For executions of covered orders, the percentage of shares executed at the quote or better;

(v) For executions of covered orders, the percentage of shares that received price improvement;

(vi) For executions of covered orders, the share-weighted average percentage price improvement, calculated as the cumulative amount that prices were improved less the cumulative amount that prices were executed outside the quote divided by sum of the average midpoint times the number of shares executed;

(vii) For executions of covered orders, the average percentage effective spread;

(viii) For executions of covered orders, the average percentage quoted spread, calculated as the average quoted spread divided by the average midpoint for such orders;

(ix) For executions of covered orders, the average effective spread divided by the average quoted spread, expressed as a percentage;

(x) For executions of covered orders, the average percentage realized spread as calculated 15 seconds after the time of execution;

(xi) For executions of covered orders, the average percentage realized spread as calculated 1 minute after the time of execution; and

(xii) For executions of covered orders, the share-weighted average execution speed, in milliseconds.

(3) Every national securities exchange on which NMS stocks are traded and each national securities association shall act jointly in establishing procedures for market centers, brokers, and dealers to follow in making available to the public the reports required by

paragraph (a)(1) of

this section in a uniform, readily accessible, and usable electronic form.

(4) In the event there is no effective national market system plan establishing such procedures, market centers, brokers, and dealers shall prepare their reports in a consistent, usable, and machine-readable electronic format, in accordance with the requirements in paragraph (a)(1) of this section, and make such reports available for downloading from an

Internet Web site

internet website that is free and readily accessible to the public.

(5) Every market center, broker, or dealer shall keep

such reports

the reports required by paragraphs (a)(1) and (2) of this section posted on an internet website that is free and readily accessible to the public for a period of three years from the initial date of posting on the internet website.

(

3

6) A market center, broker, or dealer shall make available the

report

reports required by

paragraph

paragraphs (a)(1) and (2) of this section within one month after the end of the month addressed in the reports.

(7) A broker or dealer that is not a market center shall not be subject to the requirements of this section unless that broker or dealer introduces or carries 100,000 or more customer accounts through which transactions are effected for the purchase or sale of NMS stocks (the “customer account threshold” for purposes of this paragraph). For purposes of this section, a broker or dealer that utilizes an omnibus clearing arrangement with respect to any of its underlying customer accounts shall be considered to carry such underlying customer accounts when calculating the number of customer accounts that it introduces or carries. Any broker or dealer that meets or exceeds this customer account threshold and is also a market center shall produce separate reports pertaining to each function. A broker or dealer that meets or exceeds the customer account threshold shall be required to produce reports pursuant to this section for at least three calendar months (“Reporting Period”). The Reporting Period shall begin the first calendar day of the next calendar month after the broker or dealer met or exceeded the customer account threshold, unless it is the first time the broker or dealer has met or exceeded the customer account threshold, in which case the Reporting Period shall begin the first calendar day four calendar months later. If, at any time after a broker or dealer has been required to produce reports pursuant to this section for at least a Reporting Period, a broker or dealer falls below the customer account threshold, the broker or dealer shall not be required to produce a report pursuant to this paragraph (a)(7) for the next calendar month.

(b) Exemptions. The Commission may, by order upon application, conditionally or unconditionally exempt any person, security, or transaction, or any class or classes of persons, securities, or transactions, from any provision or provisions of this section, if the Commission determines that such exemption is necessary or appropriate in the public interest, and is consistent with the protection of investors.

[70 FR 37620, June 29, 2005, as amended at 83 FR 58427, Nov. 19, 2018; 89 FR 26614, Apr. 15, 2024]