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What is the National Best Bid and Offer (NBBO)?

The NBBO reflects the best price displayed for a security across all National Securities exchanges. The National Best Bid is the highest price displayed on an exchange at which a party is willing to buy a security, and the National Best Offer is the lowest price displayed on an exchange at which a party is willing to sell a security.

What is price improvement? What is midpoint or better price improvement?

In some cases, parties may trade at prices more favorable than those displayed on an exchange. When this happens, the investor is said to have received “price improvement,” essentially receiving a discount on the purchase of shares or receiving a premium for the sale of shares. A trade at the midpoint or better means you secured an even more favorable price – i.e., a price at or better than the midpoint between the highest bid and the lowest offer.

 

For example, if a security is bid at $10/share and offered at $11/share, an investor receives price improvement if it sells shares at a price above $10/share or buys shares for a price less than $11/share. The midpoint for this example would be $10.50, so a price at or better than midpoint would mean the investor sold its shares at or above $10.50/share or bought the shares at or less than $10.50/share.

How is the price improvement percentage determined?

Price improvement is the percentage of shares executed at prices better than the best bid or best offer, often referred to as the National Best Bid and Offer (NBBO).

How do you calculate the average savings per order?

The dollar value price improvement is calculated using the average savings in cents per share for eligible trades within the respective order size range multiplied by 1,000.