Execution Quality Statistics
March 17, 2009
How to Find Information on Order Execution and Routing Practices
SEC rules aimed at improving public disclosure of order execution and routing practices require all market centers that trade national market system securities to make monthly electronic reports. These reports must contain information about each market center's quality of executions on a stock-by-stock basis — including how market orders of various sizes are executed relative to the public quotes. These reports must also disclose information about effective spreads (the spreads actually paid by investors whose orders are routed to a particular market center). In addition, market centers must disclose the extent to which they provide executions at prices better than the public quotes to investors using limit orders.
You can access these monthly reports by visiting the websites listed below:
|BATS Exchange (scroll down to bottom of page and click on “605 Reports”)|
|Chicago Stock Exchange|
|Financial Industry Regulatory Authority (FINRA) (market centers that selected FINRA to display their reports)|
|ISE Stock Exchange|
|NASDAQ Stock Market|
|NASDAQ OMX BX (formerly the Boston Stock Exchange)|
|National Stock Exchange (formerly the Cincinnati Stock Exchange)|
|New York Stock Exchange|
|NYSE MKT LLC (formerly the American Stock Exchange)|
|NYSE Arca (formerly the Pacific Exchange)|
Each exchange provides a list of the market centers that trade securities on that exchange. Similarly, FINRA provides a list of the market centers for which it is responsible, including market makers and alternative trading systems.
Be aware that you will most likely find order execution data for any given exchange-listed security in more than one report. That's because many securities trade on multiple exchanges, with market makers, and through alternative trading systems.