Execution Quality

The BATS Exchanges (BZX Exchange and BYX Exchange) make the following market quality information publicly available to demonstrate the impact of BATS' significant non-displayed liquidity--including true midpoint orders--on the economics of trading. All calculated metrics are for the previous month and are based on trades and quotes received from the SIP (Securities Information Processors) data feeds during normal trading hours. The statistics provided are designed to supplement our Rule 605 reports.

The charts below measure each listed market centers' lowest effective spread. For purposes of calculating the effective spread on executed marketable orders, BATS measures the execution price against the NBBO in effect at the millisecond in which the execution occurs. This methodology differs from Rule 605's calculation of effective spread, which measures the execution price against the NBBO at the time of receipt of the marketable order, as measured to the second.

The three values for each exchange/trading venue indicate the number of symbols for which that market center ranked first, second, or third place, respectively. For example, if a market center has "Symbol count" values of 5, 3, and 2, that market had the lowest effective spread in five symbols, the second-lowest effective spread in three symbols, and the third-lowest effective spread in two symbols, relative to the other displayed market centers.

For those charts showing symbol-specific data, the market centers are ranked in order of lowest effective spread, where a "1" ranking indicates the market center with the lowest effective spread for that symbol.

The S&P 500 constituent list is that available on the public web site below and is not guaranteed to be complete on any given day: http://us.spindices.com/indices/equity/sp-500

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