المدربA Rule 605 report is the monthly public disclosure by which a US market centre states, by stock and order type and size, its execution speed, effective and realised spreads and price improvement. A Rule 606 report is the quarterly public disclosure by which a broker states to which venues it routed its customers’ orders and what payments it received from each.
أمثلة
Example 10.6 (Reading one fill)
The national best quote is ; a customer’s market purchase of 100 shares is filled at 20.018. Price improvement: 0.2 cent a share, 20 cents on the order. Effective half-spread: cent. Five minutes later the mid is 20.013: the realised half-spread is cent and the price impact 0.3 cent. The wholesaler’s gross revenue on this fill was 50 cents, out of which it pays the broker and its own costs.