Execution Quality Methodology Specification
exq-2Every parameter and formula powering the FINRA 5310 regular and rigorous review reports is immutable, versioned data served directly by the platform API.
Core Execution Quality Parameters
The 144 Benchmark Tiers
Amended Rule 605 groups orders into cells defined by the 4-tuple key: (universe, order_class, notional_bucket, lot_class). This yields 2 universes × 3 order classes × 8 notional buckets × 3 lot classes = 144 cells per reporter-month.
8 Notional Buckets ($):
3 Lot Size Classes:
2 Market Universes:
606 to 605 Order Class Mapping:
| 606 Order Class | Benchmarked Amended 605 Order Types |
|---|---|
| market | MXXNN |
| marketable_limit | LYNNN, LYNYN |
| nonmarketable_limit | LNYNN, LNYYN, LNNNN, LNNYN |
Excluded order types: Stop orders (MXXNY, LYNNY, LNNNY), other 606 order types, and the 606 options section.
Tracked Execution Quality Metrics
| Metric Code | Direction | Aggregation Weight W | Description |
|---|---|---|---|
| fill_rate | Higher is better | Executed Shares Here E | Fill rate at market center: Executed Here E / Covered Shares C |
| pi_rate | Higher is better | Quote-Relative Shares Q | Price-improved share rate over quote-relative shares: P / (P + A + O) |
| npi_bps | Higher is better | Executed Notional (Σ Q × mid) | Net price improvement in basis points of executed notional: 10⁴ × (P·p̄ − O·ō) / Σ Q·mid |
| efq_pct | Lower is better | Executed Shares Here E | Effective-over-quoted spread percentage: avg_efq_pct |
| eff_sprd | Lower is better | Executed Shares Here E | Dollar average effective spread per share: avg_effective_spread |
| eff_sprd_pct | Lower is better | Executed Shares Here E | Effective spread as percentage of receipt quote |
| real_sprd_15s | Lower is better | Executed Shares Here E | Average realized spread at 15 seconds |
| real_sprd_15s_pct | Lower is better | Executed Shares Here E | Realized spread at 15s as percentage |
| real_sprd_1m | Lower is better | Executed Shares Here E | Average realized spread at 1 minute |
| real_sprd_1m_pct | Lower is better | Executed Shares Here E | Realized spread at 1min as percentage |
| speed_1s | Higher is better | Executed Shares Here E | Share of executed volume completed within 1 second |
Formulas & Peer Normalization
1. Mix-Adjusted Peer Benchmark
To eliminate symbol-mix bias (where venues trading only mega-caps appear superior), every venue is compared against the volume-weighted performance of competing venues on the identical symbols and size tiers:
2. Net Price Improvement (bps of Notional)
Normalized across share prices using the row-level quote midpoint, where P and O are price-improved and outside-quote shares, p̄ and ō their average amounts per share, and Q the quote-relative shares:
3. PFOF vs Execution Quality Delta
Converted to cents per hundred shares at the venue’s average executed price:
Mandatory Disclosures & Caveats
- A venue's Rule 605 statistics describe all flow it handled, not this firm's orders.
- 606 route shares are per order, not per share, and list only the top 10 venues plus any venue with at least 5% of non-directed orders.
- FINRA Rule 5310.09 also requires the firm's own order-level review of its executions.
- This report is not legal or compliance advice.
- Net price improvement is in basis points of executed notional (quote midpoint × shares). The PFOF comparison converts the difference to ¢/100 sh at the venue's average executed price; it is an estimate.