A standardised monthly disclosure in which US market centres publish execution quality statistics by security and order size — spreads, speed, fill rates and improvement.
Rule 605 covers where orders executed; rule-606-reports cover where brokers sent them. Together they are the public evidence base for judging a broker's best-execution process.
The reports are dry, standardised and genuinely useful in aggregate, even though almost no retail trader reads them. The headline fields are effective-spread, the effective-to-quoted spread ratio, execution speed and the share of orders improved.
Example: two venues both quote a 3-cent average spread. Venue A reports an average effective spread of 1.6 cents and 71% of 500-share orders improved; venue B reports 2.8 cents and 12% improved. On 5,000 shares a day that difference is roughly $60 a day, or $15,000 a year.
Original diagrams for the ideas on this page. Illustrative, not real market data.
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.
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