Research and Analysis - Market Structure

June 26, 2024

 

Data Highlights

Supporting Data – Roundtable on Options Market Structure | April 9, 2026 
The U.S. options market has evolved into a critical component of modern market structure, experiencing unprecedented growth in scale, complexity, and retail participation over the past decade. This report synthesizes key trends and structural shifts observed over recent years.

Supporting Data – Roundtable on Trade-Through Prohibitions | Sept. 9, 2025 
Rule 611 of Regulation NMS promotes intermarket price protection by restricting “trade-throughs” – the execution of trades on one venue at prices that are inferior to publicly displayed quotations on another venue. This research note provides quantitative data to further the discussion of Rule 611’s role in the equity market and a corresponding trade-through prohibition’s role in the options markets.

Corporate Stock Trading Volume, Spreads and Depth Before, During and After the NYSE Trading Suspension on July 8, 2015 | Jan. 28, 2016 
NYSE suspended trading in all symbols on the exchange at 11:32 am on July 8, 2015, and reopened at 3:10 pm - a suspension of trading for 3 hours and 38 minutes. This Data Highlight is an analysis of trading before, during and after the NYSE trading suspension.

Order Book Reporting Methods and Their Impact on Some Market Activity Measures | March 20, 2014 
This Data Highlight explores the impact of different order book reporting mechanisms on the interpretation of three common market activity measures: cancel-to-trade ratio, odd lot trade ratio and odd lot volume ratio. To account for the disparate nature of the feeds, we have made some modifications to a number of the exchange-specific metrics published on the Market Structure Analytics web site. Details of these changes are also in the Market Activity Methodology document.

Equity Market Speed Relative to Order Placement | March 20, 2014 
This Data Highlight extends the analysis of corporate stock quote lifetimes first examined in Data Highlight 2013-05, The Speed of the Equity Markets, by parsing orders by their placement relative to the prevailing best bid and offer.

Odd Lot Rates in a Post-Transparency World | Jan. 9, 2014 
This Data Highlight explores the extent to which the level of odd lot trade executions in equities may have changed as a result of such trades now being required to be reported to the public consolidated tapes.

The Speed of the Equity Markets | Oct. 9, 2013
Comparing the distribution of canceled quote lifetimes to those that result in trade executions helps reveal the extent to which the markets are dominated by individual quotes that are canceled so fast that they cannot be accessed. The data show that the vast majority of individual quotes can be accessed by at least some market participants before they are canceled.

Quote Lifetime Distributions | Oct. 9, 2013 
An accurate assessment of quote lifetimes measures the speed of markets and how it may change in response to new products, technologies, market practices or regulations. Patterns may shed light on algorithmic trading and how algorithms interact with each other. The data suggest that there are at least some market participants that use algorithms that operate at pre-defined periodic rates, and not just in response to rapid changes in market conditions.

Odd Lot Rates | Oct. 9, 2013
Transactions of fewer than 100 shares are not (at present) reported to the consolidated tape. As a result, the percentage of these trades-the odd lot rate-is one measure of the extent to which potential price discovery transactions go unutilized. The data show that a significant percentage of trades in both corporate stocks and ETPs are executed in odd lots.

Hidden Volume Ratios | Oct. 9, 2013 
A significant percentage of trading takes place off-exchange in venues that are less than fully transparent. Measuring the number and volume of on-exchange trades that are executed against "hidden orders" sheds light on the use of these less than fully-transparent order types by exchange-based market participants.

Trade to Order Volume Ratios | Oct. 9, 2013 
The trade-to-order volume ratio measures the extent to which exchange orders are either canceled or filled. The data show that the current trade-to-order volume ratio for corporate stocks is more than ten times higher than the ratio for ETPs. As the marketplace evolves, variations in the ratios of stocks and ETPs may measure the impact of new products, developing technologies and regulatory changes.

Reports on Security-Based Swaps

White Papers

Additional staff papers and analyses and working papers are available that have been prepared by staff in the Division of Economic and Risk Analysis.

Last Reviewed or Updated: Sept. 10, 2025