| NBBO |
| The National Best Bid/Offer designates the best prevailing quote and size across all competing market centers at the time of order entry.
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| Example: The Amex is posting a bid of 1,000 shares at $10.00 and an offer of 500 shares at $10.10 in security XYZ. Exchange B is posting a bid of 200 shares at $9.90 and an offer of 200 shares at $10.08 in XYZ. In this case, the NBBO would be 1,000 shares at a $10.00 bid and 200 shares at a $10.08 offer.
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| Price improvement |
| When shares of an order to buy (sell) a security are executed at a price better than the best offer (bid) at the time of order entry.
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| Example: A market order to buy 500 shares of XYZ is entered when the national best offer is 500 shares at $10.10. Three hundred shares are bought at $10.08 while the remaining 200 shares are executed at $10.10. In this case, 300 shares received $0.02 per share ($10.10-$10.08) of price improvement while the remaining 200 were executed at the NBBO.
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| Shares executed outside the NBBO |
| When shares of an order to buy (sell) a security are executed at a price worse than the best offer (bid) at the time of order entry.
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| Example: A market order to buy 500 shares of XYZ is entered when the national best offer is 300 shares at $10.10. Three hundred shares are bought at $10.10, exhausting the national best offer, while the remaining 200 shares are executed at $10.11. In this case, 300 shares were executed at the NBBO while the remaining 200 were executed $0.01 per share ($10.11-$10.10) outside the NBBO.
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| BARS entered orders |
| Orders entered into the Booth Automated Routing System. For the purposes of this rule, BARS is considered a separate market center, and therefore must be reported as a separate line of data from the more commonly entered system orders which are received directly by the specialist.
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