BATS Global Markets (BATS), operator of the BATS Exchanges, today announced the availability of new market quality reports that provide metrics on the quality of order execution for all U.S. exchanges on a stock-by-stock basis. There is no fee for any of the reports.
The reports show the effective spread, or measure of marketable orders executed in relation to the National Best Bid or Offer (NBBO), on a market-by-market basis for all stocks listed in the S&P 500® Index and BATS 1000® Index, as well as the top 100 corporate issues and top 100 exchange-traded products. The reports are available on a daily or monthly basis. The lower the effective spread, the more a market center delivers price improvement to investors, through executions against midpoint orders, for example.
“These reports are designed to provide investors, brokers, and traders with more information on how securities trade on different exchanges,” said Chris Isaacson, chief operating officer of BATS Global Markets. “We are pleased to provide these objective statistics free of charge to investors and our members to assist them in making informed decisions about where best to execute their trades.”
During the month of February the BATS BZX Exchange ranked 1st or 2nd with regards to effective spread in 351 of the 500 stocks that make up the S&P 500. BATS also had the lowest effective spread in seven of the top 25 exchange-traded products.
All calculated metrics are based on the trades and quotes disseminated on the industry consolidated data feeds provided by the SIPs (Securities Information Processors) during normal trading hours. The calculation methodology is documented on the BATS website. The market quality statistics are designed to supplement BATS’ Rule 605 reports, which are available at http://www.batstrading.com/605/.
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 market quality reports are available in the Market Data section of the BATS website.
