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| For all Order Types: |
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| Column # |
Explanation |
| 1
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Plan participant (always ‘A’ in the case of the Amex)
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| 2
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The market center receiving the order. Either the number of the specialist unit specializing in the security or ‘Amex’ – to denote orders routed to a floor broker via the BARS (Booth Automated Routing System).
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| 3
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Reporting month in YYYYMM format (e.g., 200106 for June 2001).
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| 4
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Ticker symbol for security.
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| 5
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Order type (11: Market, 12: Marketable limit, 13: Inside the quote limit, 14: At the quote limit, 15: Near the quote limit).
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6
| Order size (21: 100-499 shares, 22: 500-1,999 shares, 23: 2,000-4,999 shares, 24: 5,000- 9,999 shares).
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| 7
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Number of orders entered in order type/order size bracket.
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| 8
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Number of shares entered in order type/order size bracket.
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| 9
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Number of shares canceled in order type/order size bracket.
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| 10
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Number of shares executed at the receiving market center.
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| 11
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Number of shares sent to and executed at an alternate market center.
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| 12
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Number of shares executed between 0 and 9.9 seconds.
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| 13
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Number of shares executed between 10 and 29.9 seconds.
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| 14
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Number of shares executed between 30 and 59.9 seconds.
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| 15
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Number of shares executed between 60 and 299.9 seconds.
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| 16
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Number of shares executed between 5 and 30 minutes.
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| 17
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Realized Spread - The comparison of the execution price of an order with the midpoint of the NBBO as it stands five minutes after the time of order execution. Click here for an example.
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| For Market Orders and Marketable Limit Orders only:
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| Column # |
Explanation |
| 18
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Effective spread - The comparison of the execution price of an order with the midpoint of the NBBO at the time of order receipt. Click here for an example.
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| 19
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Number of shares receiving price improvement.
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| 20
|
Average amount of price improvement per share (in dollars), for all price improved shares.
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| 21
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Average execution speed (in seconds) for all price improved shares.
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| 22
|
Number of shares executed at the NBBO at the time of order entry.
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| 23
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Average execution speed (in seconds) for all shares executed at the NBBO.
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| 24
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Number of shares executed outside the NBBO.
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| 25
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Average amount executed away from the quote per share, for all shares executed outside the NBBO.
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| 26
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Average execution speed (in seconds) for all shares executed outside the NBBO.
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