Quick Answer
A second monthly report gives summary statistics on covered orders that are market and marketable limit orders, in one section for S&P 500 stocks and one for other national market system stocks, across eight notional size bands and a ninth combined band, in twelve columns.
The detailed report breaks execution quality down by order type. This second report is a summary, and its file format, its sections and its size bands are fixed.
What Goes in the Summary Statistics Report?
A second monthly report is made publicly available by every market center, and by every broker or dealer that meets the customer account threshold below, giving summary statistics on all covered orders that are market and marketable limit orders received for execution from any person.
- It is an electronic file using the most recent version of the comma separated values schema and the associated PDF renderer published on the SEC's website.
- It carries one section for NMS stocks included in the S&P 500 Index as of the first day of that month, and one section for other NMS stocks.
- Each section is categorized by order type, meaning market orders or marketable limit orders, and by order size.
The order size categories are eight notional bands plus a ninth combined category.
| Band | Notional order size |
|---|---|
| 1 | Less than $250 |
| 2 | $250 to less than $1,000 |
| 3 | $1,000 to less than $5,000 |
| 4 | $5,000 to less than $10,000 |
| 5 | $10,000 to less than $20,000 |
| 6 | $20,000 to less than $50,000 |
| 7 | $50,000 to less than $200,000 |
| 8 | $200,000 or more |
| 9 | All order sizes combined, excluding orders with a notional value of $200,000 or more |
The report then carries twelve columns.
| Column | What it shows |
|---|---|
| Average order size in shares | Size measure |
| Average notional order size | Size measure |
| Average midpoint | For executions of covered orders |
| Percentage of shares executed at the quote or better | For executions of covered orders |
| Percentage of shares that received price improvement | For executions of covered orders |
| Share-weighted average percentage price improvement | Cumulative amount prices were improved less the cumulative amount prices were executed outside the quote, divided by the sum of the average midpoint times the number of shares executed |
| Average percentage effective spread | For executions of covered orders |
| Average percentage quoted spread | The average quoted spread divided by the average midpoint for those orders |
| Average effective spread divided by average quoted spread | Expressed as a percentage |
| Average percentage realized spread at 15 seconds | Calculated 15 seconds after the time of execution |
| Average percentage realized spread at 1 minute | Calculated 1 minute after the time of execution |
| Share-weighted average execution speed | In milliseconds |
Exam Tip: Gotchas
- The combined size category is not the sum of the other eight. All order sizes combined excludes orders with a notional value of $200,000 or more, so the largest band sits outside the total.
- The index section is fixed on one day. Membership of the S&P 500 Index is taken as of the first day of the month the report addresses, so a mid-month index change does not move a security between sections.
When Are the Reports Published and How Long Do They Stay Up?
Both reports are made available within one month after the end of the month addressed in the reports.
Both are kept 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.
When Does a Broker That Is Not a Market Center Have to Report?
A broker or dealer that is not a market center is not subject to the rule unless it introduces or carries 100,000 or more customer accounts through which transactions in NMS stocks are effected. That figure is the customer account threshold.
- A broker or dealer that uses an omnibus clearing arrangement for any of its underlying customer accounts is considered to carry those underlying accounts when counting the accounts it introduces or carries.
- A firm that meets or exceeds the threshold and is also a market center produces separate reports for each function.
- A firm that meets or exceeds the threshold produces reports for at least three calendar months, called the Reporting Period.
- The Reporting Period begins the first calendar day of the next calendar month after the firm met or exceeded the threshold, unless it is the first time the firm has done so, in which case the Reporting Period begins the first calendar day four calendar months later.
- Once a firm has been required to report for at least a Reporting Period and then falls below the threshold, it is not required to produce a report under the threshold provision for the next calendar month.
Exam Tip: Gotchas
- The first crossing is delayed and later crossings are not. A firm crossing the threshold for the first time starts on the first calendar day four calendar months later; a firm that has crossed before starts the first day of the next calendar month.
- Omnibus clearing does not shrink the account count. Underlying customer accounts inside an omnibus arrangement are counted as carried, so the arrangement cannot hold a firm under 100,000 accounts.
What Should You Check on Exam Day?
- Confirm the summary report covers only covered orders that are market and marketable limit orders.
- Check the combined size band excludes orders with a notional value of $200,000 or more, so it is not the sum of the other eight.
- Fix index membership on the first day of the month the report addresses.
- Confirm both reports go up within one month after the month addressed and stay posted free for three years.
- For a broker that is not a market center, test the 100,000 customer account threshold and count omnibus underlying accounts as carried.