Investors Exchange Tick Size Pilot Program Data and Statistics
Market quality statistics, market and marketable limit order data, and market maker profitability were collected and provided to the SEC on a monthly basis. Market quality data and aggregated market maker profitability data were made publicly available on a monthly basis by each Plan Participant that acted as the designated examining authority for a Trading Center or Market Maker that was required to submit data under the plan. IEX Tick Size Pilot Program data and statistics are available for download above.
On March 29, 2019, the data collection requirements under the National Market System Plan to implement a Tick Size Pilot Program came to an end. As a result, a blank Tick Pilot Securities List will be produced on a daily basis, and the Tick Pilot Changes List has been updated to show the deletion of securities from the Tick Size Pilot Securities List.
While IEX has used reasonable efforts to prepare these reports in compliance with the Tick Size Pilot Program, these statistics have not been audited and may contain errors. Accordingly, any decision about whether to send orders to IEX should not be based solely on these statistics.
For further information about how the statistics and data were calculated, see FINRA’s Appendix B and C Statistics FAQ. Below is a description of how each Participant calculated the "B.II.q. Indicator for Quote Leader" statistic:
- For IEX, B.II.q is as follows: For buy(sell) orders, if the NBO(NBB) is lower(higher) than the previous NBO(NBB), the value will be "1" if IEX was the first to quote at that price, or "0" if IEX was not the first to quote at that price. For buy(sell) orders, if the NBO(NBB) is higher(lower) than the previous NBO(NBB), the value will be blank.
- For Bats markets, B.II.q is as follows: Marked as "1" – Execution of an inbound Market or Marketable Limit Sell (Buy) Order when Bats Best Displayed Bid (Offer) is higher (lower) than away market Best Bid (Offer) Marked as "0" – All other executions. Bats does not currently send blank values.
- For CHX, B.II.q. is as follows: For an execution resulting from an incoming sell order, if CHX is alone at the NBB within the SIP NBB then "1" else "blank." For an execution resulting from an incoming buy order, if CHX is alone at the NBO within the SIP NBO then "1", else "blank." CHX does not currently send "0" values.
- For Nasdaq venues B.II.q. is as follows: If the trading center on which the trade occurred is the trading center identified by the SIP as the NBB (or NBO as appropriate) trading center then this field will get a "1". Otherwise the field will get a "0".
- For NYSE and NYSE MKT, B.II.q is as follows:
- If the last change in the NBB (NBO) was up (down) for a sell (buy) order and the receiving exchange was the first exchange to set that price, set quote leader = 1.
- If the last change in the NBB (NBO) was up (down) for a sell (buy) order and any other exchange was the first exchange to set that price, set quote leader = 0.
- In all other cases, set quote leader blank (consecutive pipes).
- For NYSE Arca, B.II.q is as follows: If the last change in the NBB (NBO) was up (down) for a sell (buy) order and the receiving exchange was the first exchange to set that price, set quote leader = 1. In all other cases, set quote leader = 0.
- For NSX, B.II.q. is as follows: If the receiving exchange set the NBB (NBO) for a buy(sell) order, and the NBO(NBB) existed, set quote leader = 1 else set to 0.
- For OTC Trading Centers that do not display quotes directly to the SIP or to the ADF, the value in B.II.q is always Blank.