SEC adopted rule amendments that update the disclosure required under Rule 605 (17 CFR 242.605) of Reg NMS for order execution in national market system (NMS) stocks
Follows Dec. 2022 proposal to enhance order execution data disclosure, see #156509.
Expanded scope of entities subject to rule, modified categorization and content of information reported, required entities to produce summary report of execution quality
SEC made available comments received on proposing release; Chair Gensler supported
Expanded scope to include B/Ds who introduce or carry 100,000+ customer accounts.
The rule amendments also specified that broker-dealers operating single dealer platforms must prepare a separate report for activity specific to these platforms.
Changed scope and content of the standardized monthly reports required under rule.
Rule Amendments
Expanded definition of covered order to include certain orders submitted outside of regular trading hours, certain orders submitted with stop price, non-exempt short sale.
Modified order size categories to base them on both notional dollar value and whether order is for fractional share, odd-lot or round lot/greater rather than number of shares.
Four new order type categories: marketable immediate-or-cancel orders, market orders submitted with stop prices, marketable limit orders submitted with stop prices.
In addition, new order type of non-marketable limit orders submitted with stop prices.
Replaced 3 existing categories of non-marketable order types with 4 new categories: midpoint-or-better limit orders, midpoint-or-better immediate-or-cancel orders.
Also, non-marketable limit orders, and non-marketable immediate-or-cancel orders.
Scoped in non-marketable orders, orders submitted with stop prices if are executable.
Reporting
The time-to-execution reporting categories were modified to use more granular time-to-execution buckets with timestamp conventions of a millisecond or finer.
Realized spread statistics required to be calculated using additional time horizons ranging from less than 100 microseconds to 5 minutes after the time of order receipt.
New statistical measures of execution quality; entities to make summary report publicly available formatted in most recent versions of the schema CSV, PDF renderer.
Effectiveness
Effective 60 days after date of publication of the adopting release in federal register.
The amendments have a compliance date of 18 months after the effective date.
