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The FIF Rule 605/606 Working Group has been working on improving access to execution quality statistics for the retail community. In an effort to provide investors with more useful disclosures about order routing practices, FIF members have voluntarily agreed to provide supplemental statistics on retail execution quality as defined below. While many quantitative and qualitative factors go into determining routing decisions, the following statistics are intended to provide some additional perspective on the execution quality provided to retail investors beyond the currently available Rule 605 and Rule 606 statistics (as applicable), which are available here.

Please note that when evaluating this data a number of factors such as a firm’s client base, order flow mix, and business model should be taken into consideration.*

Q2 2023 Market Orders

S&P 500 Stocks

Order Size Range (Shares) Average Order Size (Shares) Shares Executed at Market Quote or Better (%) Price Improvement (%) Average Savings Per Order ($) Average Execution Speed (Seconds)
1 - 99 18 99.814% 74.052% $0.39 0.01
100 - 499 190 99.582% 93.496% $2.48 0.01
500 - 1,999 847 97.817% 91.337% $7.34 0.02
2,000 - 4,999 2,774 91.748% 83.194% $10.54 0.02
5,000 - 9,999 6,194 81.414% 70.287% -$7.86 0.02

Other Exchange-Listed Stocks

Order Size Range (Shares) Average Order Size (Shares) Shares Executed at Market Quote or Better (%) Price Improvement (%) Average Savings Per Order ($) Average Execution Speed (Seconds)
1 - 99 19 99.790% 72.996% $0.32 0.02
100 - 499 200 99.448% 86.114% $2.01 0.02
500 - 1,999 880 97.748% 84.873% $5.57 0.02
2,000 - 4,999 2,779 93.842% 78.065% $7.32 0.05
5,000 - 9,999 6,283 89.857% 71.937% $1.15 0.11

Q2 2023 Marketable Limit Orders

S&P 500 Stocks

Order Size Range (Shares) Average Order Size (Shares) Shares Executed at Market Quote or Better (%) Price Improvement (%) Average Savings Per Order ($) Average Execution Speed (Seconds)
1 - 99 16 99.668% 61.213% $0.11 0.02
100 - 499 165 99.382% 61.214% $0.54 0.03
500 - 1,999 810 98.242% 66.164% $1.91 0.01
2,000 - 4,999 2,750 93.488% 58.545% $1.21 0.30
5,000 - 9,999 6,027 89.577% 58.583% -$3.17 0.78

Other Exchange-Listed Stocks

Order Size Range (Shares) Average Order Size (Shares) Shares Executed at Market Quote or Better (%) Price Improvement (%) Average Savings Per Order ($) Average Execution Speed (Seconds)
1 - 99 19 99.789% 60.137% $0.10 0.01
100 - 499 185 99.423% 46.005% $0.46 0.03
500 - 1,999 850 98.113% 50.870% $1.51 0.18
2,000 - 4,999 2,768 94.134% 42.975% $0.64 0.54
5,000 - 9,999 6,127 91.581% 44.087% -$2.52 0.80

Definitions

Order Size Range (Shares): Orders have been grouped into different order size ranges as follows 1 – 99 shares, 100- 499 shares, 500 – 1,999 shares, 2,000 – 4,999 shares and 5,000-9,999 shares.

Average Order Size (Shares): Measured as the average order size within each order size range.

Shares Executed at Market Quote or Better (%): Measured as the percentage of shares that receive price improvement (an execution priced better than the National Best Bid/Offer at the time of order receipt), plus the percentage of shares executed at the National Best Bid/Offer at the time of order receipt.

Price Improvement (%): Measured as the percentage of shares that receive price improvement. Price improvement is defined as an execution priced better than the National Best Bid/Offer at the time of order receipt.

Average Savings per Order ($): Measured as the net notional dollar value of price improvement per share multiplied by the number of executed shares given to clients divided by the total number of executed orders. Specifically, this metric is calculated as: (Net price improvement per Share * Executed Shares) / Executed Orders.

Average Execution Speed (Seconds): Measured as the average time elapsed from the order receipt time to the execution time for the full share quantity of the order.1

1 Note: Order receipt time is defined based on existing FINRA regulations (See FINRA Rule 7440). Execution time is based on the time executions are recorded by a firm’s order management system.

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