what is a 606 report

SEC Rule 606(a) Report

Disclosure of Order Routing Information

U.S. Securities and Exchange Commission (SEC) Rule 606(a) requires all brokerage firms to make publicly available quarterly reports, broken down by calendar month, containing certain required statistical information regarding the routing of held, non-directed customer orders in Regulation NMS stocks, as well as both held and not held, non-directed customer orders in listed options with a market value of less than $50,000. Goldman Sachs & Co. LLC (“GSCO”) is publishing such quarterly report in accordance with Rule 606(a), and will keep the report publicly available for a period of three (3) years.

The report contains a section for Regulation NMS stocks (separated by securities that are included in the S&P 500 Index as of the first day of the quarter and other Non-S&P 500 stocks) and a separate section for listed options. For each section, the report identifies the venues to which GSCO routed the relevant orders and, for each venue, the required statistical information broken down by order type (i.e., market order, marketable limit order, non-marketable limit order and other orders). Each section of the report also contains information regarding the material aspects of GSCO’s relationship, if any, with each venue.

For more information regarding the quarterly reports required by SEC Rule 606(a), and other aspects of SEC Rule 606, you may review the final rule here: https://www.sec.gov/rules/final/2018/34-84528.pdf

SEC Rule 606(a) Report:  

Q4 2022 ( PDF ) ( XML ) Q3 2022 ( PDF ) ( XML ) Q2 2022 ( PDF ) ( XML ) Q1 2022 ( PDF ) ( XML ) Q4 2021 ( PDF ) ( XML ) Q3 2021 ( PDF ) ( XML ) Q2 2021 ( PDF ) ( XML ) Q1 2021 ( PDF ) ( XML ) Q4 2020 ( PDF ) ( XML ) Q3 2020 ( PDF ) ( XML ) Q2 2020 ( PDF ) ( XML ) Q1 2020 ( PDF ) ( XML )   

Note Regarding the Information

Please note that, consistent with the requirements of SEC Rule 606(a), the information presented in the report concerns only a small portion of GSCO's customer order flow. The statistical information and disclosures required by SEC Rule 606(a) do not encompass all of the information necessary to assess execution quality. 

Certain venues that GSCO routes orders to, such as exchanges, charge execution fees or provide rebates based upon whether routed orders take liquidity from, or provide liquidity to, the venue. In addition, and as further referenced in the report, certain venues, including exchanges, have various volume-based tiered pricing/payment schedules pursuant to which GSCO and other brokerage firms may receive incremental pricing benefits based upon the aggregate trading volume routed to the venue (including volume not associated with customer orders).

While GSCO has carefully prepared the information presented in the report, the data has not been audited and may contain errors.

Rule 605 and 606 Reporting

Disclosure of sec-required order execution information.

Virtu supports the development and implementation of rules and regulatory initiatives that produce more liquid and transparent markets. On November 17, 2000, the Securities and Exchange Commission (“SEC”) adopted two rules to improve public disclosure of execution and routing practices.

Rules 605 and 606 were adopted to standardize and improve public disclosure of execution and routing practices. Pursuant to the SEC’s execution quality disclosure rule (Rule 605), monthly performance statistics can be obtained directly from the Virtu website. Client-specific Rule 605 Execution Statistics can be obtained by accessing our web-based client portal using a password-protected login.

Rule 605 requires “market centers” that trade National Market System securities to make available standardized, monthly reports containing statistical information about “covered order” executions. Rule 605 is intended to promote visibility and competition in order execution quality, particularly with respect to execution price and speed. The rule requires, among other things, that the reports be prepared in an electronic format available for downloading from an Internet website that is free and readily accessible to the public.

The disclosures required by Rule 605 do not encompass all of the factors that may be important to clients in evaluating the order routing practices of a broker-dealer.  In addition, any particular market center’s statistics will encompass varying types of orders routed by different broker-dealers on behalf of customers with a wide range of objectives.  Accordingly, the statistical information required by Rule 605 alone does not create a reliable basis to address whether any particular broker-dealer obtained the most favorable terms under the circumstances for customer orders.

See historical monthly reports about our execution quality:

Virtu Americas LLC Rule 605 Reports: January 2023 | December 2022 | November 2022 | October 2022 | September 2022 | August 2022 | July 2022 | June 2022 | May 2022 | April 2022 | March 2022 | February 2022 | January 2022 | December 2021 | November 2021 | October 2021 | September 2021 | August 2021 | July 2021 | June 2021 | May 2021 | April 2021 | March 2021 | February 2021 | January 2021 | December 2020 | November 2020 | October 2020 | September 2020 | August 2020 | July 2020 | June 2020 | May 2020 | April 2020 | March 2020 | February 2020 | January 2020 |

The files are updated every month on or around the 25th of each month, reflecting execution quality for trades reported for the previous calendar month end.  The download files are available in zip format, which contains an ASCII text file. The .zip files use WinZip technology to compress the files. To view these files you must have Winzip software.

Virtu Americas LLC and Virtu Financial BD LLC combined operations with Virtu Americas LLC as the surviving entity. As such we have incorporated Virtu Financial BD LLC’s Rule 605 execution statistics separately as MPID VIRT.Both MPIDs included in the Virtu Americas LLC 605 report, VIRT and NITE, belong to the same market center.  

Additional information about the Rule 605 reports:

• Initial SEC release adopting Rule 605
• SEC Staff Legal Bulletin No. 12R that contains frequently asked questions and answers regarding the rule
• Joint SRO Plan submitted to the SEC by all self-regulatory organization (“SRO”) participants and sets forth the procedures that market centers are required to follow in making their monthly reports available to the public
• Disclaimer for SEC Rule 605

Rule 606 requires broker-dealers that route customer orders in equities and option securities to publish quarterly reports that provide a general overview of their routing practices. In this report, the venues to which non-directed customer orders in U.S. exchange-listed equity securities and options were routed for execution must be disclosed, as well as the nature of any relationship the broker-dealer has with each venue. The purpose of this report is to provide the public with information on how broker-dealers route orders, enable the evaluation of order routing practices and foster competition among market participants. Upon request, broker-dealers also must disclose to customers the venues to which their individual orders were routed. Each customer may request a written copy of the report be mailed to them at no charge.

See historical quarterly reports of our routing practices:

Virtu Financial Capital Markets, LLC / ROUTING OF CUSTOMER ORDERS RULE 606 REPORTS:  Q3-2018  |  Q2-2018  |  Q1-2018

VIRTU AMERICAS LLC / ROUTING OF CUSTOMER ORDERS RULE 606 REPORTS (1): Q4-2022 ( pdf ) ( xml ) | Q3-2022 ( pdf ) ( xml ) | Q2-2022 ( pdf ) ( xml ) | Q1-2022 ( pdf ) ( xml ) | Q4-2021 ( pdf ) ( xml ) | Q3-2021 ( pdf ) ( xml ) | Q2-2021 ( pdf ) ( xml ) | Q1-2021 ( pdf ) ( xml ) | Q4-2020 ( pdf ) ( xml ) | Q3-2020 ( pdf ) ( xml ) | Q2-2020 ( pdf ) ( xml ) | Q1-2020 ( pdf ) ( xml ) | Q4-2019 | Q3-2019 | Q2-2019 | Q1-2019 |  Q4-2018  |  Q3-2018  |  Q2-2018  |  Q1-2018

ITG / ROUTING OF CUSTOMER ORDERS RULE 606 REPORTS (2): Q2-2020 ( pdf ) ( xml ) | Q1-2020 ( pdf ) ( xml ) | Q4-2019 | Q3-2019 | Q2-2019 | Q1-2019 |  Q4-2018  |  Q3-2018  |  Q2-2018  |  Q1-2018

(1) All Virtu Financial Capital Markets LLC’s customers have been migrated to Virtu Americas LLC as of Q3 2018. For routing data after that date, please refer to Virtu Americas LLC’s Rule 606 data.

(2) more 606 reporting available upon request.

Disclosures and Material Relationships

Virtu Americas LLC (“VAL” or “the Firm”) in accordance with Securities and Exchange Commission Rule 606(a) (the “Rule”) is publishing statistical information about its routing practices for held non-directed orders received from customers (as defined in the “Rule”) in S&P 500 and Non-S&P 500 national market system securities. VAL acts as a market center in S&P 500 and Non-S&P 500 national market system securities and identifies itself as the execution venue on riskless principal executions pursuant to SEC guidance.

VAL operates two alternative trading systems, MatchIt and POSIT and may route orders to each of these venues for execution.

Virtu Investments, LLC (a commonly controlled affiliate of VAL) has an ownership interest in the Members Exchange and MIAX.

VAL routes orders to market centers, including national securities exchanges, alternative trading systems, electronic communications networks, and broker-dealers that may offer credits for orders that provide liquidity to (remove liquidity from) their books and assess fees for orders that take liquidity from (add liquidity to) their books. In some cases, the credits offered by a market center may exceed the charges assessed, such that a market center may make a payment to VAL in relation to orders directed to such market center. VAL may also receive incremental pricing benefits from market centers based upon the aggregate trading volume generated by the Firm (including trading volume not associated with client orders).

“Other Orders” include market opening and closing orders, orders submitted with stop prices, all- or-none orders and orders that must be executed at prices above the national best bid (such as non-exempt short sale orders).

Additional information about the Rule 606 reports:

• SEC release adopting Rule 606.
• SEC Staff Legal Bulletin No. 13 that contains frequently asked questions and answers regarding the rule.
• Disclaimer for SEC Rule 606

Lady Rose has had an incredible career, spanning work with the UK Government, the British Armed Forces, and HM Treasury in respect of financial services. In this speaker session, she discussed her experience rising through the ranks of her professional career as a woman in heavily male-dominated spaces.

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Responses to Frequently Asked Questions Concerning Rule 606 of Regulation NMS

Aug. 16, 2019

Responses to these frequently asked questions represent the views of staff of the Division of Trading and Markets (“Staff”). They are not a rule, regulation, or statement of the Commission. Furthermore, the Commission has neither approved nor disapproved their content. These responses, like all staff guidance, have no legal force or effect: they do not alter or amend applicable law, and they create no new or additional obligations for any person. The responses below depend on the particular facts and circumstances described in the question and response. Furthermore, the options reflected in the responses are not intended to be exhaustive. Additional information on Rule 606 can be found in the Commission’s adopting release, available at: https://www.sec.gov/rules/final/2018/34-84528.pdf .

The staff may update these questions and answers periodically. In each update, the questions added after publication of the last version will be marked with “MODIFIED” or “NEW.”

For further information contact: Theodore S. Venuti, Assistant Director, at (202) 551-5658, Division of Trading and Markets, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-7010.

In November 2018, the Commission adopted amendments to Rule 606 of Regulation NMS to require broker-dealers to provide enhanced disclosure of information regarding the handling of their customers’ orders. Rule 606, as amended, requires more meaningful disclosures relevant to today’s marketplace that encourage broker-dealers to provide more effective and competitive order handling and routing services and that also improve the ability of their customers to determine the quality of such broker-dealer services.

In the amendments to Rule 606, the Commission referenced “not held orders” and “held orders.” Typically, not held orders are customer orders in NMS stock that provide a broker-dealer with price and time discretion in the handling of such orders. Held orders typically are customer orders in NMS stock that a broker-dealer must attempt to execute immediately. The adopted amendments to Rule 606 provide for different broker-dealer disclosure obligations depending on whether the order being handled is a not held order or a held order.

Specifically, the Commission adopted new Rule 606(b)(3) to require a broker-dealer, upon request of a customer that places not held orders, to provide specific disclosures, for the prior six months, regarding routing and execution of such orders. These new disclosure requirements are subject to two de minimis exceptions – one pursuant to new Rule 606(b)(4) that applies based on the broker-dealer’s NMS stock order flow and another pursuant to new Rule 606(b)(5) that applies based on the customer’s NMS stock order flow.

In addition, the Commission amended Rule 606(a) to enhance the aggregated order routing disclosures that broker-dealers must make publicly available on a quarterly basis for held orders. The Commission made specific enhancements to these public disclosures to require limit order information to be split into marketable and non-marketable categories; require more detailed disclosure of payments received from or paid to certain trading centers; require broker-dealers to describe any terms of payment for order flow arrangements and profit-sharing relationships; and require that broker-dealers keep the order routing reports posted on a website that is free and readily accessible to the public for a period of three years. The Commission also replaced the pre-existing requirement to group order routing information for NMS stocks by listing market with a requirement to group such information by (i) stocks included in the S&P 500 Index as of the first day of the quarter and (ii) other NMS stocks.

RESPONSES TO FREQUENTLY ASKED QUESTIONS

Section 1: not held nms stock order reports under rule 606(b)(3), issue 1: order handling and routing arrangements (including cases involving the use of another broker-dealer’s execution services including “white labeling” arrangements).

Broker-dealers handle not held customer orders using various order handling and routing arrangements, including by using the services of another broker-dealer. In determining how to comply with the disclosure obligations of Rule 606(b)(3), a broker-dealer using another broker-dealer’s services must determine whether it has exercised “discretion” over the routing of not held customer orders. In the Adopting Release, the Commission stated that, “[i]f the broker-dealer exercises discretion with regard to how an order is routed and ultimately executed, such as (but not limited to) by determining particular venue destinations for an order, choosing among different trading algorithms, adjusting or customizing algorithm parameters, or performing other similar tasks involving its own judgment as to how and where to route and execute orders, the broker-dealer must provide its customer the information required by Rule 606(b)(3)[].” [1]

A broker-dealer exercises discretion over how an order is routed and ultimately executed through its decision making and its participation in choices related to the use and configuration of algorithms, smart order routers, and other trading strategies (collectively, “execution services”). For example, with respect to the use of another broker-dealer’s smart order routers, a broker-dealer exercises discretion when a broker-dealer using another broker’s execution services, at any point prior to the routing of an order, participates in venue selection and prioritization for an order (including exclusions) and/or chooses among different pre-set routing configurations that affect routing decisions. As another example, a broker-dealer exercises discretion if it negotiates economic terms for execution services that, depending upon differential pricing and/or other terms of the arrangement, have a material effect on the routing choices being made. And, a broker-dealer exercises discretion at the time an order routing decision is made if it selects from among multiple order routing strategies provided by another broker that engage market liquidity in meaningfully different ways, e.g. , actively vs. passively.

With respect to the use of another broker-dealer’s algorithms, a broker-dealer exercises discretion when, upon routing an order, it chooses among different algorithmic trading strategies ( e.g. , volume-weighted average price, percentage of volume, implementation shortfall, etc.) or different levels of urgency ( e.g. , passive vs. aggressive). A broker-dealer also exercises discretion when, at any time prior to the routing of an order, it participates in adjusting or customizing other algorithm parameters that could be material as to how, when and/or where to route and execute orders. As with the case of smart order routers, a broker-dealer also exercises discretion where there is an economic arrangement between two broker-dealers that affects the order routing or execution strategies utilized in the handling of not held customer orders. In all cases where it exercises discretion, the customer-facing broker-dealer must report the Rule 606(b)(3) information relative to any venues to which the other broker-dealer further routes the customer’s not held order.

The following FAQs are intended to provide Staff guidance regarding particular scenarios when a customer-facing broker-dealer, using the services of another broker-dealer, exercises discretion over how an order is routed and ultimately executed, thus becoming subject to the requirement to report to the customer information relative to any venues to which other broker-dealers further route the customer’s not held order.

Question 1.01: Broker-Dealer A has a “white-labeling” arrangement with Broker-Dealer B, in which Broker-Dealer A routes and executes orders that it receives from its customers using execution services that it licenses or outsources from Broker-Dealer B. Is Broker-Dealer A required to provide the Rule 606(b)(3) report with regard to venues to which it routed orders using the execution services that it white-labeled from Broker-Dealer B ?

Answer: Yes. When relying on third-party execution services, such as in a white-labeling arrangement, customer-facing broker-dealers such as Broker-Dealer A will need to ensure that they can provide the information required by Rule 606(b)(3), should it be requested by a customer. If Broker-Dealer A relies on third-party execution services, such as in a white-labeling arrangement, and utilizes the execution services to handle and route its customer’s order (and child orders thereof), Broker-Dealer A has exercised discretion with regard to how its customer’s order is routed and is responsible for disclosing to its customer the report required under Rule 606(b)(3), including the information for the venues to which orders were routed using the white-labeled execution service. A broker-dealer exercises discretion with the use of any white-labeling arrangement, whether that be with the use of a smart order router, execution algorithm, or other trading strategy.

Question 1.02: Broker-Dealer A receives orders from its customer and those orders are routed to Broker-Dealer C using an execution service from Broker-Dealer B over which Broker-Dealer A exercises discretion. Broker-Dealer C then further routes to other venues child orders derived from the orders it received from Broker-Dealer A. Is Broker-Dealer A required to provide the Rule 606(b)(3) report with regard to the other venues to which Broker-Dealer C routed child orders?

Answer: No. Broker-Dealer A’s exercise of discretion ended after the customer’s orders were routed using the execution services of Broker-Dealer B (the execution services over which Broker-Dealer A was exercising discretion) to the first destination. Broker-Dealer A’s exercise of discretion in utilizing the execution services of Broker-Dealer B does not extend to how Broker-Dealer C routes the orders because Broker-Dealer A does not perform any tasks involving its own judgment as to how and where to route and execute such orders. Therefore there is no obligation for Broker-Dealer A to report the Rule 606(b)(3) information relative to any venues to which Broker-Dealer C routes orders.

Likewise, if Broker-Dealer A’s customer’s orders were routed to Exchange D using an execution service from Broker-Dealer B, and Exchange D then further routes to other venues child orders derived from the orders it received from Broker-Dealer A, Broker-Dealer A’s exercise of discretion in utilizing the execution services of Broker-Dealer B does not extend to how Exchange D routes the orders because Broker-Dealer A does not perform any tasks involving its own judgment as to how and where to route and execute such orders. Therefore, there is no obligation for Broker-Dealer A to report the Rule 606(b)(3) information relative to any venues to which Exchange D routes orders.

Question 1.03: Broker-Dealer A routes its customer’s orders to Broker-Dealer B, subject to an arrangement where Broker-Dealer A has chosen a cost-plus fee structure and specified a desire to route orders in a manner that may maximize rebates and minimize transaction fees to the extent practicable. Is Broker-Dealer A required to provide the Rule 606(b)(3) report with regard to venues to which Broker-Dealer B routed orders?

Answer: Yes. As described in the question, Broker-Dealer A has an economic arrangement with Broker-Dealer B that affects the order routing strategy that Broker-Dealer B uses on Broker-Dealer A’s behalf. Specifically, under the terms of the arrangement, Broker-Dealer B must choose or configure a routing and execution strategy that includes as preferred execution venues those venues that meet economic criteria consistent with maximizing rebates or incurring the lowest fees. Thus, through this arrangement, Broker-Dealer A has exercised discretion over how Broker-Dealer B routes, and Broker-Dealer A is required to report to its customer the information required by Rule 606(b)(3) with regard to any venue to which Broker-Dealer B routes orders. This would be the case regardless of whether Broker-Dealer A is white-labeling the execution services of Broker-Dealer B or routing orders for further order handling by Broker-Dealer B.

Question 1.04: Broker-Dealer A and Broker-Dealer B have a generally established course of dealing where Broker-Dealer A expects Broker-Dealer B to modify or utilize a certain pre-set configuration in its routing strategy in terms of urgency ( e.g. , passive vs. aggressive) when taking liquidity, or expects Broker-Dealer B never to route a child order to a particular venue. Broker-Dealer A routes its customer’s orders to Broker-Dealer B with general instructions to use Broker-Dealer B’s execution services but no further explicit qualifications, parameters, or instructions are provided at the time the orders are routed. Is Broker-Dealer A required to provide the Rule 606(b)(3) report with regard to venues to which Broker-Dealer B routed orders?

Answer: Yes. If Broker-Dealer A and Broker-Dealer B have a generally established course of dealing such that Broker-Dealer B implicitly knows to calibrate its routing strategy in a particular manner on behalf of Broker-Dealer A, Broker-Dealer A has exercised discretion with regard to how and where Broker-Dealer B routes and executes the orders. Therefore Broker-Dealer A must report to its customer the Rule 606(b)(3) information relative to the venues to which Broker-Dealer B routes orders.

Question 1.05: Broker-Dealer A receives orders from its customer and routes those orders to Broker-Dealer B using Broker-Dealer B’s execution services for further handling. When Broker-Dealer A routes orders to Broker-Dealer B, Broker-Dealer A instructs Broker-Dealer B to handle them with a certain level of urgency ( e.g. passively or aggressively) but otherwise leaves the order handling and routing decisions to Broker-Dealer B. Is Broker-Dealer A required to provide the Rule 606(b)(3) report with regard to venues to which Broker-Dealer B routed orders?

Answer: Yes. In instructing Broker-Dealer B to pursue a certain level of routing aggressiveness, Broker-Dealer A is exercising discretion by instructing Broker-Dealer B as to how to handle the level of urgency. Therefore, Broker-Dealer A’s instruction affects the routing or execution strategies utilized by Broker-Dealer B and the venues to which Broker-Dealer B routes orders.

Question 1.06: Broker-Dealer A routes its customer’s orders to Broker-Dealer B for further handling and instructs Broker-Dealer B to interact only with “lit” venues when handling the orders. Is Broker-Dealer A required to provide the Rule 606(b)(3) report with regard to venues to which Broker-Dealer B routed orders?

Answer: Yes. In instructing Broker-Dealer B to interact only with certain types of venues, such as “lit” venues, when handling the orders, Broker-Dealer A has exercised discretion with regard to how and where Broker-Dealer B routes and executes the orders.

Question 1.07: Broker-Dealer A receives a large order from its customer. As part of its handling of the customer’s order, Broker-Dealer A routes a directed order to Broker-Dealer B and relies on Broker-Dealer B to determine the timing and whether Broker-Dealer B will break the large order into child orders (as well as the size of any child orders) to be routed to the specified venue. Is Broker-Dealer A required to provide the Rule 606(b)(3) report with regard to the venue to which Broker-Dealer B routed?

Answer: Yes. In sending a directed order to Broker-Dealer B, Broker-Dealer A has exercised discretion with regard to how and where Broker-Dealer B routes and executes the order.

Issue 2: Venues

Question 2.01: Is there a difference between a “venue” for purposes of the customer-specific reports required by Rule 606(b)(3) for not held orders versus a “venue” for purposes of the public quarterly reports required by Rule 606(a) for held orders and options orders?

Answer: Yes. The customer-specific reports for not held orders must include information for each venue to which orders were routed while the public quarterly reports for held orders and options orders must include information for venues to which orders were routed for execution . In the NMS stock context, because Rule 606(b)(3) does not include the phrase “for execution,” the term venue includes a broader scope of entities than Rule 606(a), such as when the routing broker-dealer routes to another broker-dealer that further routes orders but does not execute orders.

Accordingly, in a scenario in which Broker-Dealer A routes its customer’s order to Broker-Dealer B for further handling, Broker-Dealer B would be a venue for purposes of Broker-Dealer A’s Rule 606(b)(3) report to its customer. Moreover, if Broker-Dealer B both executes internally a portion of the order received from Broker-Dealer A and further routes another portion of the order, then Broker-Dealer B should be reported in both capacities in Broker-Dealer A’s report – Broker-Dealer B should be reported once for its role as a routing broker and, separately, for its role as an execution venue, with any internal executions at an affiliated alternative trading system (“ATS”) reported separately from internal executions that occur elsewhere within the broker-dealer entity ( see infra FAQs 2.02 - 2.04).

Each venue name in the venue column of the report should be followed by a parenthetical that labels the venue as either a primary routing venue (“PRV”) or execution venue/secondary routing venue (“EV/SRV”). PRV indicates that the identified venue received orders from the customer-facing broker-dealer and further routed them, and that the information in the corresponding row of the report pertains to those further routes. EV/SRV identifies venues where orders were executed or that further routed orders. In the scenario presented above for example, the venue column of Broker-Dealer A’s report should contain one row for “Broker-Dealer B (PRV)” that contains the Rule 606(b)(3) information relative to Broker-Dealer B’s role as a routing venue, and a separate row for “Broker-Dealer B (EV/SRV)” that contains the Rule 606(b)(3) information relative to Broker-Dealer B as an execution venue.

Question 2.02: What can be a venue for Rule 606(b)(3) reporting purposes?

Answer : Any destination where a broker-dealer routes or executes a customer’s order is a venue for purposes of the Rule 606(b)(3) report. This includes any exchange, broker-dealer, or ATS. Each such venue with a distinct market participant identifier (MPID) or market identifier code (MIC) must be reported separately in the report. A broker-dealer may represent multiple execution venues depending on the different routing and execution destinations operated by the broker-dealer. For example, a broker-dealer may operate an ATS, which has a MPID that is separate from the broker-dealer-operator’s MPID. If the broker-dealer executes orders in its ATS and also executes orders elsewhere internally, such as (but not limited to) in a single dealer execution platform or an internal execution desk for crossing customer orders, the ATS must be reported as an execution venue for the executions that occur therein and the broker-dealer entity must be reported separately as an execution venue for the executions that occur internally at the broker-dealer but not in the ATS.

Question 2.03: Can the customer-facing broker-dealer be a venue for Rule 606(b)(3) reporting purposes if it executes some or all of its customer’s order internally?

Answer: Yes. If, for example, Broker-Dealer A executes some portion of its customer’s order internally, Broker-Dealer A must report the Rule 606(b)(3) information relative to its internal executions regardless of whether Broker-Dealer A acts as principal in executing against its customer’s order or as agent in crossing its customer’s order against other orders.

Executions that occur within an ATS operated by Broker-Dealer A must be reported separately from internal executions that occur elsewhere within Broker-Dealer A. For example, if Broker-Dealer A operates an ATS as well as a separate internal execution desk for crossing customer orders, and Broker-Dealer A executes a portion of its customer’s order at each of those internal destinations, Broker-Dealer A and its ATS must appear in separate rows in the PDF renderer version of the report and the relevant columns of Rule 606(b)(3)(i)-(iv) information must be populated for Broker-Dealer A’s executions in its ATS and, separately, for internal executions at Broker-Dealer A that do not occur in its ATS. Broker-Dealer A would report the information regarding total shares executed required by Rule 606(b)(3)(ii)(A) for its ATS and, separately, for other internal executions, and that field in the PDF renderer would include, in the aggregate, the total shares from the customer’s order that Broker-Dealer A executed internally in its ATS and, in the separate Broker-Dealer A row, the total shares from the customer’s order that Broker-Dealer A executed internally but not in its ATS. Below is a depiction of the venue column in the PDF renderer version of the Rule 606(b)(3) report for the scenario presented here:

Question 2.04: A customer submits orders to Broker-Dealer A, which then routes the orders to Broker-Dealers B, C, and D. Broker-Dealer A exercises discretion regarding how Broker-Dealer s B, C, and D further route the orders . Broker-Dealers B, C, and D further route to Exchanges X and Y child orders derived from the orders that they received from Broker-Dealer A, and Broker-Dealer s B and C (but not Broker-Dealer D) also execute internally some portion of the orders that Broker-Dealer A routed to them. Broker-Dealer B’s internal executions occur in an ATS that it operates and Broker-Dealer C’s internal executions occur in a single-dealer execution platform that it operates. What venues should be included in Broker-Dealer A’s Rule 606(b)(3) report to its customer?

Answer: Broker-Dealers B, C, and D should be included as venues for each capacity in which they handled orders received from Broker-Dealer A, i.e. , all three should be included as routing venues, Broker-Dealer B’s ATS should be included separately as an execution venue, and Broker-Dealer C should be included separately for the internal executions in its single-dealer platform. Even though Broker-Dealer D did not execute internally any portion of the orders it received from Broker-Dealer A, it is still a venue for Rule 606(b)(3) reporting purposes because it is a destination to which Broker-Dealer A routed orders. In addition, Exchanges X and Y must be included as venues in Broker-Dealer A’s report since Broker-Dealer A exercised discretion over how Broker-Dealers B, C, and D route. Moreover, the Rule 606(b)(3) information must be reported separately for each venue.

Accordingly, in the PDF renderer version for the Rule 606(b)(3) report for the scenario presented here, Broker-Dealers B, C, and D should each be reflected in a separate row in the report as venues to which Broker-Dealer A routed the customer’s orders; Broker-Dealer B’s ATS and Broker-Dealer C also should be reflected in additional, separate rows as execution venues; and, lastly, Exchanges X and Y to which Broker-Dealers B, C, and D routed child orders also should be reflected as execution venues in separate rows. For each venue in each row of the report, the relevant columns of Rule 606(b)(3)(i)-(iv) information must be reported. Below is a depiction of the venue column in the PDF renderer version of the Rule 606(b)(3) report for the scenario presented here:

Question 2.05: Broker-Dealer A has an arrangement with Broker-Dealer B, in which Broker-Dealer A routes and executes orders that it receives from its customers using execution services that it licenses or outsources from Broker-Dealer B. A customer submits several large orders to Broker-Dealer A and, using the execution services that it licenses or outsources from Broker-Dealer B, Broker-Dealer A routes and executes the order in discrete portions across the following range of venues: (i) an ATS operated by Broker-Dealer B, (ii) an internal execution desk at Broker-Dealer C, and (iii) Exchange D. What venues should be included in Broker-Dealer A’s Rule 606(b)(3) report to its customer?

Answer: Consistent with FAQ 2.04 above, Broker-Dealer B should be included in Broker-Dealer A’s report as a routing venue because of its role as the provider of execution services pursuant to its arrangement with Broker-Dealer A, and Broker-Dealer B’s ATS also should be reported separately as an execution venue. Broker-Dealer C, for the executions in its non-ATS internal execution desk, and Exchange D also should be included in the report, separately, as execution venues. Below is a depiction of the venue column in the PDF renderer version of the Rule 606(b)(3) report for the scenario presented here:

Issue 3: Average Time Between Order Entry and Execution or Cancellation for Orders Providing Liquidity

Question 3.01: Does the Rule 606(b)(3)(iii)(C) requirement that broker-dealers disclose the average time between order entry and execution or cancellation for orders providing liquidity (in milliseconds) apply only to orders that are joining or improving the NBBO at time of entry?

Answer: No. The Rule 606(b)(3)(iii)(C) requirement applies to “orders providing liquidity,” and does not differentiate such liquidity-providing orders from those that may join or improve the NBBO at the time of entry, including those that provide depth by resting at prices away from NBBO. Rule 600(b) defines “orders providing liquidity” as “orders that were executed against after resting at a trading center.” While an order that rests at prices away from the NBBO is perhaps less likely to be executed and therefore less likely to qualify as an “order providing liquidity,” if such an order is executed against (including partially), it is still an order providing liquidity under the Rule and the Rule 606(b)(3)(iii)(C) information must be provided regardless of the price point at which the order rested.

Question 3.02: How should a broker-dealer measure the average time between order entry and execution or cancellation when an order is partially filled and the remainder is subsequently cancelled?

Answer: If an order is partially filled and the remainder is subsequently cancelled, one option would be for a broker-dealer to measure the average time between order entry and execution or cancellation starting at the time the order enters the venue and ending at the time of the cancellation of the unexecuted portion of the order.

Question 3.03: How should a broker-dealer report the average time between order entry and execution when an order is fully filled by multiple executions?

Answer: If it takes more than one execution to fully fill a customer order at a venue, one option would be for a broker-dealer to measure the average time between order entry and execution starting at the time the order enters the venue and ending at the time of the final execution of the order at that venue.

Issue 4: Information on Orders that Provided or Removed Liquidity

Question 4.01: Under Rule 606(b)(3)(iii)-(iv), a broker-dealer must disclose information on its customer’s orders that provided or removed liquidity. Do all orders either provide or remove liquidity when executed?

Answer: Rule 600(b)(54) defines “orders providing liquidity” as “orders that were executed against after resting at a trading center” and Rule 600(b)(55) defines “orders removing liquidity” as “orders that executed against resting trading interest at a trading center.” Generally, orders submitted to exchanges will either provide or remove liquidity, and exchanges will pass back execution reports with exchange-determined liquidity codes to its members. Customer-facing broker-dealers with reporting responsibility could procure such reports from exchange members and use the liquidity codes for purposes of producing the Rule 606(b)(3) reports.

However, in certain instances in which exchange-determined liquidity codes cannot be relied upon, some orders may neither provide nor remove liquidity, and some orders that execute against each other may both provide liquidity. In these instances, the categorization of an order as providing or removing liquidity will depend on how the order is handled by a trading center and the execution mechanisms used. For example, in the over-the-counter market, if a broker-dealer executes a customer’s order internally by matching the order with another customer’s order, neither one of the orders would meet the definition of orders providing liquidity or orders removing liquidity as defined in Rules 600(b)(54) and (55), respectively, because neither of the orders were resting at a trading center. Likewise, if an introducing broker sends a customer’s order to an executing broker which then executes the order against its own inventory, the customer’s order neither provided liquidity because it did not rest at the trading center nor removed liquidity because there was not resting trading interest at the trading center. In addition, certain execution mechanisms offered by trading centers, such as auction mechanisms or midpoint crossing mechanisms, may result in the execution of orders that neither provide nor remove liquidity because neither of the orders in the execution were resting at a trading center. Further, if an order rests at a trading center but is cancelled in full without being executed against, the order would not be an order providing liquidity. By contrast, if two contra-side orders are resting at a trading center and market conditions change such that the two orders execute against each other, both orders would be orders providing liquidity because both orders were executed against after resting at the trading center and would be included in the disclosures covering orders providing liquidity.

Thus, an order that is required to be included in the disclosures under Rule 606(b)(3) but neither provided nor removed liquidity would be included in the disclosures covering order routing and order execution but would not be included in the disclosures covering orders that provided liquidity or removed liquidity.

Issue 5: Fees and Rebates

Question 5.01: How should a broker-dealer comply with the requirement under Rule 606(b)(3) to report to its customer average net execution fee or rebate information when the fee or rebate information is not known at the time of the customer request ( e.g. , delay in receipt of fee or rebate information due to volume threshold pricing tiers)?

Answer: The broker-dealer must report to its customer the average net execution fee or rebate information as determined by the actual fees charged or rebates provided by the execution venue. Thus, if the fees or rebates may vary depending on the tier reached at the end of the month, the broker-dealer should report to its customer, upon request and as available, the actual fees charged or rebates provided. In instances where a customer requests a Rule 606(b)(3) report but the broker-dealer has not received monthly-volume-adjusted fee or rebate information from one or more execution venues for the immediately preceding calendar month within 7 business days after the customer’s request, the broker-dealer may satisfy the customer’s request by providing the fee and rebate information (and other Rule 606(b)(3) information) for the preceding six calendar months for which it has full information.

Question 5.02: How should an average net execution fee be distinguished from an average net execution rebate in the Rule 606(b)(3) report?

Answer: An average net execution fee should be reported as a negative number and an average net execution rebate should be reported as a positive number.

Question 5.03: In a scenario in which Broker-Dealer A routes its customer’s orders to Broker-Dealer B for further handling, and Broker-Dealer B does not execute internally any portion of the orders received from Broker-Dealer A but routes the orders to Exchanges X and Y for execution, how should any payments between Broker-Dealers A and B be reported on Broker-Dealer A’s Rule 606(b)(3) report to its customer, assuming that Broker-Dealer A exercised discretion over Broker-Dealer B’s routing?

Answer: In this scenario, Broker-Dealer B should be disclosed on Broker-Dealer A’s Rule 606(b)(3) report as a routing venue and Exchanges X and Y should be disclosed as execution venues ( see FAQ 2.04). Payments between Broker-Dealers A and B related to executions that occur on Exchanges X and Y should be disclosed as part of the average net execution fee or rebate information required by Rule 606(b)(3)(ii)(D), and included in the row in the report that pertains to Broker-Dealer’s B role as a routing venue even if Broker-Dealer B does not execute internally orders received from Broker-Dealer A. For example, if Broker-Dealers A and B have a cost-plus arrangement where Broker-Dealer B passes back to Broker-Dealer A any execution fee charged or rebate provided by Exchanges X or Y plus an additional fee, that additional fee should be included in the average net execution fee or rebate information in the row of the report pertaining to Broker-Dealer B’s role as a routing venue. The execution fee charged or rebate provided to Broker-Dealer B by Exchanges X or Y must be reported separately as part of the average net execution or rebate information in the respective rows in the report that pertain to Exchanges X and Y.

Issue 6: Average Price Accounts and Aggregated Orders

Question 6.01: How could broker-dealers disclose the information required by Rule 606(b)(3) in a scenario where an introducing broker aggregates various customers’ orders into one large order that is routed to an executing broker for further order handling ( e.g. , using an average price account)?

Answer: One option would be for the introducing broker to report to each customer the Rule 606(b)(3) information that pertains to the executing broker’s handling of the aggregated order (assuming the introducing broker exercised discretion) by allocating to each customer on a pro-rata basis the information relative to the aggregated order.

For example, five customers each submit a 100,000 share order to buy the same NMS stock to an introducing broker, and the introducing broker aggregates those orders into one order for 500,000 shares which the introducing broker then routes to an executing broker using an average price account. From that 500,000 share aggregated order, the executing broker creates 100 child orders of 5,000 shares each and routes the child orders to various venues where they receive executions at various prices, and the executing broker then provides an average price back to the introducing broker for the 500,000 share aggregated order. In this scenario, one option would be for the introducing broker to report the Rule 606(b)(3) information relative to the executing broker’s routes by allocating to each customer 1,000 (one-fifth) of the shares of each 5,000 share child order routed by the executing broker and reporting the Rule 606(b)(3) information accordingly.

Issue 7: Orders That Are Further Routable

Question 7.01: For the purposes of Rule 606(b)(3), how could broker-dealers determine whether an order is further routable?

Answer: Orders are further routable if the order type, or order type setting utilized, does not prohibit the ability of the venue receiving the order from routing the order to another venue.

Issue 8: Actionable Indications of Interest (“IOIs”)

Question 8.01: Broker-Dealer A sends an IOI to Broker-Dealer B, an external liquidity provider, in which Broker-Dealer A specifies that it would like to purchase 10,000 shares of a particular NMS stock, but does not specify a limit price. Through a generally established course of dealing, Broker-Dealer B knows that Broker-Dealer A is willing to cross the spread when purchasing NMS stock. Is the IOI an actionable IOI and thus subject to reporting under Rule 606(b)(3)?

Answer: Yes. Actionable IOIs, as defined in Rule 600(b)(1), are the functional equivalent of orders or quotations, i.e. , firm trading interest, and are subject to reporting under Rule 606(b)(3). Rule 600(b)(1) defines an actionable IOI as any IOI “that explicitly or implicitly conveys all of the following information with respect to any order available at the venue sending the [IOI]: (i) Symbol; (ii) Side (buy or sell); (iii) A price that is equal to or better than the national best bid for buy orders and the national best offer for sell orders; and (iv) A size that is at least equal to one round lot” (emphasis added). Because these IOI terms may be implicitly conveyed, a course of dealing between the IOI sender and the recipient through which the recipient can assume a term of the IOI would sufficiently convey that term for purposes of the definition. In the scenario here, Broker-Dealer B’s knowledge that Broker-Dealer A is willing to cross the spread is implicit conveyance of the price term of the IOI such that Broker-Dealer A’s IOI is an actionable IOI under the definition. Even though the price term is implicitly conveyed, Broker-Dealer A’s IOI acts as the functional equivalent of a quote because Broker-Dealer B can execute against the trading interest represented by the IOI without further agreement by Broker-Dealer A.

Issue 9: Riskless Principal Transactions

Question 9.01: Rule 606(b)(3) requires a broker-dealer to report, among other things, the total number of shares of a customer’s order flow that the broker-dealer executed as principal for its own account. Should the broker-dealer include riskless principal transactions in the customer’s report pursuant to this requirement?

Answer: No. For orders that a broker-dealer receives from a customer and handles on a riskless principal basis, one method for reporting could be for the broker-dealer to treat such orders like agency orders in the Rule 606(b)(3) report. The broker-dealer must report the Rule 606(b)(3) information as it relates to the order flow received from the customer, the broker-dealer’s routing of that order flow to away venues, and any executions of that order flow on those away venues. For example, in a riskless principal transaction where a broker-dealer receives an order from a customer, creates principal child orders that are derived from the customer’s order and routes them to away venues where they are executed, and then fills the customer’s order in a riskless principal capacity, the broker-dealer would not report its riskless principal fill of the customer’s order but would report the Rule 606(b)(3) information as it relates to the customer’s order and the child orders that the broker-dealer routed to away venues.

Issue 10: De Minimis Exceptions

Question 10.01: May a broker-dealer avail itself of the Rule 606(b)(4) de minimis exception from providing customer-specific disclosures under Rule 606(b)(3) for a particular branch of the broker-dealer if the branch does not handle any not held order flow?

Answer: The de minimis exception is assessed at the broker-dealer level and is determined using the entire amount of order flow that the broker-dealer receives from customers. If a broker-dealer has multiple branches or business units or other types of internal divisions, the broker-dealer must assess its aggregate not held order flow across all of its branches or business units or divisions to determine whether it can avail itself of the Rule 606(b)(4) de minimis exception. A broker-dealer cannot avail itself of the Rule 606(b)(4) de minimis exception if its aggregate order flow across all of its branches, business units or divisions exceeds the de minimis threshold.

Section 2: NMS Stock Held Order and Options Order Reports Under Rule 606(a)

Issue 11: limit orders – marketable vs. non-marketable.

Question 11.01: For purposes of complying with the requirements of Rule 606(a), may a broker-dealer determine whether a limit order is marketable or non-marketable at the time the broker-dealer routes the order to a venue for execution?

Answer: Yes. A broker-dealer could determine whether a limit order is marketable or non-marketable at the time the broker-dealer routes the order to a venue for execution.

Question 11.02: For purposes of Rule 606(a)(1)’s requirement that broker-dealers differentiate non-directed orders that are marketable limit orders from non-directed orders that are non-marketable limit orders, is marketability assessed at the parent order level or the child order level?

Answer: Whether a limit order is marketable or non-marketable for purposes of Rule 606(a)(1) must be determined with respect to each order that a broker-dealer routes to a venue for potential execution. If a broker-dealer receives an order from a customer and then routes that order in its entirety to one venue for execution, marketability must be assessed with respect to that order. If, however, a broker-dealer receives a parent order from a customer, divides the parent order into smaller child orders, and then routes the child orders to one or more venues for execution, marketability must be assessed with respect to each child order routed by the broker-dealer, not the larger parent order received from the customer.

Question 11.03: How could marketability be determined for orders placed outside of regular market hours?

Answer: Marketability could be determined based on the best bid and best offer for such security that are calculated and disseminated on a current and continuous basis by a plan processor pursuant to an effective national market system plan. To the extent no such best bid or offer is calculated and disseminated, broker-dealers could adopt and follow reasonable procedures to determine the best bid or offer available in a security at the time marketability needs to be determined for such order.

Issue 12: Fees and Rebates

Question 12.01: A customer sends a NMS stock order to Broker-Dealer A, which then routes the order to Broker-Dealer B, a routing broker-dealer that does not execute orders but provides execution services. Broker-Dealer B routes child orders to and receives executions from multiple venues with associated fees/rebates. For purposes of quarterly reporting under Rule 606(a)(1), how could Broker-Dealer A report fees or rebates between Broker-Dealer B and the execution venues and report fees or rebates between Broker-Dealer A and Broker-Dealer B?

Answer: Rule 606(a)(1) reports must include information for venues to which orders were “routed for execution.” In the NMS stock context, a broker-dealer can internally execute orders without sending them to an exchange. Thus, for Rule 606(a)(1) reporting purposes in the NMS stock context, a broker-dealer to which the customer-facing broker routes orders can be a “venue to which [] orders were routed for execution” if that broker-dealer executes orders. When this occurs, the customer-facing broker would report the Rule 606(a)(1) information relevant to the executing broker-dealer as though the executing broker-dealer is the venue.

If, however, the broker-dealer to which the orders were routed does not execute orders, as is posited by the question here with respect to Broker-Dealer B, that broker-dealer would not be a venue to which orders were routed for execution. Rather, the venues to which Broker-Dealer B routes child orders for execution would be the relevant venues for Rule 606(a)(1) reporting purposes. While the reporting responsibility under the Rule remains with Broker-Dealer A in this scenario, Broker-Dealer A may contract with Broker-Dealer B for assistance in meeting its reporting responsibilities under the rule.

For example, assuming Broker-Dealer B makes the routing decisions concerning the NMS stock orders routed to it by Broker-Dealer A, Broker-Dealer B may be in the best position to prepare a quarterly report that reflects its routing practices on behalf of Broker-Dealer A. To comply with the rule, Broker-Dealer A could disclose its relationship with Broker-Dealer B and adopt by reference Broker-Dealer B’s report, provided that Broker-Dealer A has examined the report and does not have reason to believe it materially misrepresents the order routing practices. Under this approach, Broker-Dealer A’s disclosure of its relationship with Broker-Dealer B could include the information required by Rule 606(a)(1) that is relevant to that relationship such as, among other information required by the Rule, any payment for order flow received from, payment from any profit-sharing relationship received from, transaction fees paid to, and transaction rebates received from Broker-Dealer B. Broker-Dealer B’s report, which would be adopted by reference by Broker-Dealer A, would report the information required by Rule 606(a)(1) from Broker-Dealer B’s standpoint. This would include, among other things, the net aggregate amounts of any payment for order flow, payment from profit-sharing, and transaction fees or rebates relative to the relationship between Broker-Dealer B and the venues to which it routed child orders.

Question 12.02: Many execution venues offer tiered pricing arrangements where the volume or type of order flow sent to the venue by a broker-dealer determines the applicable pricing. For example, some venues may offer incrementally higher rebates or lower fees to broker-dealers for additional order flow volume. Or, as another example, venues may offer different pricing tiers for marketable order flow versus non-marketable order flow. How should such tiered pricing arrangements be disclosed under Rule 606(a)(1)?

Answer: A venue may establish a tiered pricing arrangement for the purpose of incentivizing broker-dealers to send more order flow to the venue or dis-incentivizing them from sending less order flow, or to incentivize certain types of order flow over other types. These incentives or disincentives may influence a broker-dealer’s routing choices. Rule 606(a)(1)(iv) requires a broker-dealer to provide a discussion of the material aspects of its relationship with each venue identified pursuant to paragraph (a)(1)(ii) of Rule 606, including, among other things, incentives for equaling or exceeding, or disincentives for failing to meet, an agreed upon order flow volume threshold; volume-based tiered payment schedules; and minimum order flow agreements. Under Rule 606(a)(1)(iv), when a broker-dealer routes to a venue that provides a tiered pricing schedule, the material aspects of the broker-dealer’s relationship with that venue that are required to be disclosed to the customer include a description of all of the pricing tiers offered by the venue, the pricing for each tier, and the tier that applied to the broker-dealer.

These tiered pricing arrangements may be most prevalent with an exchange’s volume-based tiers, but similar arrangements may also exist when, for example, a customer-facing broker-dealer, Broker-Dealer A, routes the customer’s order to Broker-Dealer B, which then executes and/or further routes the customer’s order. Broker-Dealer B may offer Broker-Dealer A volume-based tiered pricing, or may offer different pricing for different types of order flow. These pricing arrangements constitute material terms of the relationship between Broker-Dealers A and B, and so, pursuant to Rule 606(a)(1)(iv), the available tiers and pricing for each, as well as the pricing tier applied to Broker-Dealer A, are required to be disclosed.

Issue 13: Options Orders Report

Question 13.01: When a retail options broker routes customer options orders to a consolidator which then sends those orders to an options exchange for execution, does the retail options broker have a reporting responsibility under Rule 606(a) and, if so, what is it?

Answer: The retail options broker has the reporting responsibility under Rule 606(a) as it is the broker to which the customer transmitted the options orders. If a retail options broker routes all of its customer options orders to one or more consolidators, and the consolidator in fact makes the routing decisions concerning those customer orders, including to exchanges where the consolidator or its affiliate acts a liquidity provider to those orders, the consolidator could be effectively acting as the venue for execution for purposes of the rule. Given the market structure for listed options that are NMS securities, where orders for such options must be executed on an exchange, the consolidator will route to exchanges the customer options orders received from retail brokers. To comply with the rule, therefore, a retail options broker could disclose each of its consolidator relationships and, for each such relationship, provide the applicable information required by Rule 606(a)(1).

For example, the broker would disclose the percentage of total options orders that were non-directed orders pursuant to Rule 606(a)(1)(i), and the identity of the consolidators required to be identified pursuant to Rule 606(a)(1)(ii) to which non-directed options orders were routed and the percentage of non-directed options orders routed to each such consolidator. For each consolidator required to be identified pursuant to Rule 606(a)(1)(ii), the broker would disclose the Rule 606(a)(1)(iii) information regarding net aggregate amount of any payment for order flow received from, payment from any profit-sharing relationship received from, transaction fees paid to, and transaction rebates received from the consolidator. In addition, because of the view that the venue in this scenario is the consolidator, the marketability of a limit order for purposes of categorizing it as marketable or non-marketable as required by Rule 606(a)(1)(i)-(iii) could be determined at the time the customer-facing broker routes the order to the consolidator. Pursuant to Rule 606(a)(1)(iv), the broker also is required to provide a discussion of the material aspects of its relationship with each consolidator, including a description of any arrangement for payment for order flow and any profit-sharing relationship and a description of any terms of such arrangements, written or oral, that may influence the consolidator’s order routing decision.

Question 13.02: How are complex options orders disclosed under Rule 606(a)?

Answer: Rule 606(a) requires the disclosure of certain information related to the routing of non-directed options orders having a market value less than $50,000. Such disclosures must be broken down by market orders, marketable limit orders, non-marketable limit orders, and other orders. Complex options orders should be categorized as “other orders,” as they are orders for which the customer requests special handling by the broker-dealer.

Question 13.03: Rule 606(a)(1)(iii) requires any broker-dealer to disclose the “net aggregate amount of any payment for order flow received” for its customers’ options orders. The XML schema that Rule 606(a)(1) requires for the disclosure format describes the unit of measurement for this data as “Net Cents Per Hundred Shares.” How would this unit apply to the disclosure of options orders?

Answer: Given that 100 shares is the number of shares in one standard options contract, this disclosure should provide the net aggregate amount of any payment for order flow received in net cents per options contract. Thus, for options orders, this requirement can be interpreted as “Net Cents Per Option Contract for One Hundred Shares.”

(NEW 1-30-2020)

Issue 14: Arrangements Affecting Execution Quality at a Venue

Question 14.01: A broker-dealer has an arrangement with a venue where the venue agrees to provide marketable orders a certain level of price improvement and pay the broker-dealer a certain amount of payment for order flow for such orders. Under Rule 606(a)(1)(iv), what must the broker-dealer disclose in its report about its arrangement with the venue?

Answer: Under Rule 606(a)(1)(iv), the broker-dealer must provide a discussion of the material aspects of its relationship with the venue, including a description of any arrangement for payment for order flow and any profit sharing relationship with the venue, and a description of any terms of such arrangement, written or oral, that may influence the broker-dealer’s order routing decision. The Commission stated in the Adopting Release that, “because such arrangements would influence a broker-dealer’s order routing decision, the amended rule requires disclosure of the details of any arrangement between a broker-dealer and a Specified Venue where the level of execution quality is negotiated for an increase or decrease in payment for order flow.” [2] In the view of staff, the details of any arrangement could include the amount of price improvement ( i.e. , the level of execution quality), the amount of payment for order flow that is negotiated, and the details of any arrangement where the execution quality or payment for order flow provided by the venue varies based on the characteristics or categories of the order flow that the broker-dealer routes to the venue. For example, such details could include different terms for different categories of securities, if applicable, including categories such as high-priced securities, highly active securities, ETFs, indexed securities (such as securities included in the S&P 500), as well as different terms for different order sizes, if applicable.

Question 14.02: If a broker-dealer receives payment for order flow from a venue pursuant to an oral arrangement (such as an oral arrangement where an amount of payment for order flow leads to a certain level of price improvement for orders that the broker-dealer routes to the venue), what must the broker-dealer disclose in its public report pursuant to Rule 606(a)(1)(iv)?

Answer: All arrangements for payment for order flow, including oral arrangements, are covered by Rule 606(a)(1)(iv). In this example, under Rule 606(a)(1)(iv), the broker-dealer would be required to provide a discussion of the material aspects of its relationship with the venue, which would include a description of any arrangement for payment for order flow and any profit sharing relationship with the venue, and a description of any terms of such arrangement, written or oral, that may influence the broker-dealer’s order routing decision. As set forth in the Adopting Release, the broker-dealer must disclose the details of any arrangement with a venue where the level of execution quality is negotiated for an increase or decrease in payment for order flow. In the view of staff, the details of any arrangement could include the amount of price improvement ( i.e. , the level of execution quality), the amount of payment for order flow that is negotiated, and the details of any arrangement where the execution quality or payment for order flow provided by the venue varies based on the characteristics or categories of the order flow that the broker-dealer routes to the venue. For example, such details could include different terms for different categories of securities, if applicable, including categories such as high-priced securities, highly active securities, ETFs, indexed securities (such as securities included in the S&P 500), as well as different terms for different order sizes, if applicable.

(NEW 6-03-2022)

Issue 15: Categorizing Customer Orders as Held or Not Held

Question 15.01: A customer sends an order for 15 shares of a NMS stock to Broker-Dealer A. The customer reasonably expects Broker-Dealer A to attempt to execute its NMS stock orders immediately. How should Broker-Dealer A treat such customer order for purposes of categorizing the order as a held or not held order for Rule 606 reporting?

Answer: The Commission stated in the Adopting Release that “[t]ypically, a ‘not held’ order provides the broker-dealer with price and time discretion in handling the order, whereas a broker-dealer must attempt to execute a ‘held’ order immediately.” Accordingly, since the customer reasonably expects Broker-Dealer A to attempt to execute its orders in NMS stocks immediately, Broker-Dealer A should categorize the order as a held order for purposes of Rule 606 reporting.

Question 15.02: Assume the same customer sends a cash order for $100 worth of a NMS stock to Broker-Dealer A, resulting in an order with a fractional share component (15.625 shares at $6.40 per share). How should Broker-Dealer A treat such customer order for purposes of categorizing the order as a held or not held order for Rule 606 reporting?

Answer: Since the customer reasonably expects Broker-Dealer A to attempt to execute its orders in NMS stocks immediately, the broker-dealer should categorize the order as a held order for purposes of Rule 606 reporting.

Question 15.03: Another customer sends an order for 150,000 shares of a NMS stock to Broker-Dealer A. The customer reasonably expects Broker-Dealer A to utilize its discretion in when to execute its NMS stock orders. How should Broker-Dealer A treat such customer order for purposes of categorizing the order as a held or not held order for Rule 606 reporting?

Answer:  Since the customer reasonably expects Broker-Dealer A to use its discretion in when to execute its orders in NMS stocks, the broker-dealer should categorize the order as a not held order for purposes of Rule 606 reporting.

Question 15.04: Assume the same customer sends a cash order for $1,000,000 worth of a NMS stock to Broker-Dealer A, resulting in an order with a fractional share component (156,006.24 shares at $6.41 per share). How should Broker-Dealer A treat such customer order for purposes of categorizing the order as a held or not held order for Rule 606 reporting?

[1] Securities Exchange Act Release No. 78309 (Nov. 2, 2018), 83 FR 58338, 58357 (Nov. 19, 2018) (“Adopting Release”).

[2] Adopting Release at 58376, n. 397.

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Disclosure of Routing Information

New for 2022, regulatory obligations and related considerations, regulatory obligations:.

Rule 606 of Regulation NMS requires broker-dealers to disclose information regarding the handling of their customers’ orders in NMS stocks and listed options. These disclosures are designed to help customers: better understand how their firm routes and handles their orders; assess the quality of order handling services provided by their firm; and ascertain whether the firm is effectively managing potential conflicts of interest that may impact their firm’s routing decisions.

Related Considerations:

• Does the firm publish accurate, properly formatted quarterly routing reports on its website for the required retention period as specified under Rule 606(a), including use of the SEC’s most recently published PDF and XML schema?
• If the firm is not required to publish a quarterly report under Rule 606(a), does the firm have an effective supervisory process to periodically confirm that the firm has no orders subject to quarterly reporting? 
• If the firm routes orders to non-exchange venues, does the firm adequately assess whether such venues are covered under Rule 606(a)?
• If the firm routes orders to non-exchange venues, does the firm obtain and retain sufficient information from such venues to properly report the material terms of its relationships with such venues, including specific quantitative and qualitative information regarding PFOF and any profit-sharing relationship?
• If the firm claims an exemption from providing not held order reports under Rule 606(b)(3) pursuant to Rule 606(b)(4) or (5), what policies and procedures does the firm have in place to determine if the firm’s or a customer’s order activity falls below the relevant de minimis thresholds?
• If the firm is required to provide customer-specific disclosures under Rule 606(b)(3), does the firm provide accurate, properly formatted disclosures for the prior six months to requesting customers within seven business days of receiving the request?

Exam Findings and Effective Practices

Exam findings:.

• reporting only held orders in listed options, instead of both held and not held orders;
• incorrectly stating that the firm does not have a profit-sharing arrangement or receive PFOF from execution venues;
• not including payments, credits or rebates (whether received directly from an exchange or through a pass-through arrangement) in the “Net Payment Paid/Received” and “Material Aspects” sections of the quarterly report;
• not including exchange pricing arrangements ( e.g. , tiered pricing) in the “Net Payment Paid/Received” and “Material Aspects” sections of the quarterly report;
• not disclosing any amounts of “Net Payment Paid/Received”, when the firm receives PFOF for at least one of the four order types ( i.e. , Market Orders, Marketable Limit Orders, Non-Marketable Limit Orders, Other Orders);
• inaccurately identifying reported execution venues as “Unknown”;
• inaccurately identifying firms as execution venues ( e.g. , identifying routing broker-dealer as execution venue, rather than the exchange where transactions are actually executed);
• incorrectly listing an entity as an execution venue when that entity does not execute trades ( e.g. , firm that re-routes, but does not execute, orders; options consolidator that does not provide liquidity); and
• not posting the quarterly report on their firm’s website in both required formats ( i.e. , PDF and XML schema).
• inadequate descriptions of specific terms of PFOF and other arrangements ( e.g. , “average” amounts of PFOF rather than specific disclosure noting the payment types, specific amount received for each type of payment, terms and conditions of each type of payment);
• ambiguous descriptions of receipt of PFOF ( e.g. , firm “may” receive payment);
• inadequate or incomplete descriptions of PFOF received through pass-through arrangements;
• incomplete descriptions of exchange credits or rebates; and
• incomplete descriptions of tiered pricing arrangements, including the specific pricing received by the firm.
• Deficient Communications – Not notifying customers in writing of the availability of information specified under Rule 606(b)(1), as required by Rule 606(b)(2). 15
• not updating their Disclosure of Order Routing Information WSPs to include new requirements detailed in amended Rule 606(a)(1) or new Rule 606(b)(3);
• not describing the steps taken to review whether firms verified the data integrity of information sent to, or received from, their vendor—or not stating how the review would be evidenced by the reviewer;
• not articulating a supervisory method of review to verify the accuracy, format, completeness, timely processing and details of the new Rule 606(b)(3) report, if requested, as well as documenting the performance of that review; and
• not requiring the inclusion of detailed information regarding the routing and execution of the firm’s customers’ listed options orders in quarterly reports or customer-requested order routing disclosures.

Effective Practices:

• Supervision – Conducting regular, periodic supervisory reviews of the public quarterly reports and customer-specific order disclosure reports, if applicable, for accuracy ( e.g. , assuring that per-venue disclosures of net aggregate PFOF and other payments are accurately calculated) and completeness (e.g., assuring that the Material Aspects section adequately describes the firm’s PFOF and other payment arrangement for each execution venue, including all material aspects that may influence the firm’s order routing decisions).
• Due Diligence on Vendors – Performing due diligence to assess the accuracy of public quarterly reports and customer-specific order disclosure reports provided by third-party vendors by, for example, holding periodic meetings with vendors to review content of reports, comparing order samples against vendor-provided information, and confirming with the vendor that all appropriate order information is being received (particularly when the firm has complex routing arrangements with execution venues).

Additional Resources

• SEC’s 2018 Amendments to Rule 606 of Regulation NMS
• SEC’s Responses to Frequently Asked Questions Concerning Rule 606 of Regulation NMS
• SEC’s Staff Legal Bulletin No. 13A: Frequently Asked Questions About Rule 11Ac1-6
• SEC’s Order Routing and Handling Data Technical Specification

15  In addition to the order routing disclosures under Rule 606, Rule 607 of Regulation NMS requires firms to disclose their policies regarding PFOF and order routing when customers open accounts, and on an annual basis thereafter, so firms should consistently provide the same information in both types of disclosures.

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• Trade Execution Quality

SEC Rule 606

Under SEC Rule 606(a), broker-dealers that route equity and option orders on behalf of customers are required to prepare quarterly reports that disclose specific information about their order routing practices for non-directed 1 orders in NMS stocks and option contracts in NMS securities.

The reports are made available to the public free of charge for each calendar quarter and published no later than one month after the end of the quarter.

Quarterly Reports

National Financial Services LLC (NFS) is a registered broker-dealer affiliated with Fidelity Brokerage Services LLC (FBS). NFS routes orders for NFS and FBS customers.

FBS Quarterly Report

Required statistical order routing information for Retail and Registered Investment Advisor managed accounts.

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NFS Quarterly Report

Required statistical order routing information for NFS Institutional and other accounts.

• Under SEC Rule 606(b)(1), customers can request specific order routing and execution information for the preceding six months. The information will include the identity of the venue where your orders were routed for execution, whether the orders were directed or non-directed, and if executed, the time of execution.
• Under SEC Rule 606(b)(3), broker-dealers are required, upon request of a customer that places not-held orders, to provide specific disclosures regarding routing and execution of such orders for the prior six months.
• -1"> {{keyword.split('NFS-')[1]}} NFS Quarterly Report
• 1. Any order that the customer has not specifically instructed to be routed to a particular venue for execution.

Information provided in this document is for informational and educational purposes only. To the extent any investment information in this material is deemed to be a recommendation, it is not meant to be impartial investment advice or advice in a fiduciary capacity and is not intended to be used as a primary basis for you or your clients' investment decisions. Fidelity and its representatives may have a conflict of interest in the products or services mentioned in this material because they have a financial interest in them, and receive compensation, directly or indirectly, in connection with the management, distribution, and/or servicing of these products or services, including Fidelity funds, certain third-party funds and products, and certain investment services.

The use of the term "advisor(s)" throughout this site shall refer to both investment advisors and broker dealers as a collective term.

Nomura Securities International, Inc. | Disclosure of Order Routing Information - SEC Rule 606

Disclosure of Order Routing Information

In accordance with Securities and Exchange Commission ("SEC") requirements, Nomura Securities International, Inc. ("NSI"), is publishing statistical information about its routing of certain customer orders in NMS Securities and Listed Options. SEC rules require all registered broker-dealers that route orders in certain equity and option securities to make publicly available quarterly reports that present a general overview of a firm's non-directed order routing practices. Please note that, based on the SEC's requirements, these statistics capture only a portion of NSI's order flow.

These statistics are intended to provide only an overview of NSI's order routing practices. Accordingly, the statistics do not create a reliable basis on which to assess whether NSI or any other trading venue has satisfied its duty of best execution. NSI has made every attempt to provide these statistics in compliance with SEC Rules, however, errors may occur or certain system outages may cause the data to be incorrect or incomplete.

For further information on SEC Rule 606, you may visit the SEC website.

https://www.sec.gov/tm/faq-rule-606-regulation-nms

https://www.sec.gov/news/press-release/2018-253

Payment for Order Flow Disclosure:

NSI routes the majority of customer orders in equity securities, including options, to Instinet, an affiliated broker-dealer, for execution. Instinet routes NSI's orders to national securities exchanges, alternative trading systems, and other market centers. In exchange for routing equity orders to certain market centers, Instinet may receive monetary rebates per executed share for equity orders that add liquidity to its book and/or rebates for aggregate exchange fees. Instinet passes along to NSI the economic benefits of any rebates received that are related to NSI's orders. The rebates are considered payment for order flow even though they may not necessarily offset NSI's aggregate payments for removing liquidity. Instinet also passes along any fees or rebates directly attributable to Nomura (for example, CBOE Large Trade Discounts). In this regard, in any given month, the 'credits' received by NSI from a given market center may exceed the 'debits' charged to NSI for such period. For additional information regarding Instinet's order routing practices and payments that may be received by Instinet, please see Instinet's Rule 606 report, available at: https://www.instinet.com/order-disclosures

NSI may occasionally route customer orders in equity securities, including options, to Dash Financial for execution. On a monthly basis, Dash Financial provides 100% of the credits/rebates provided to Dash Financial by the exchanges to NSI. These credits/rebates are provided to NSI primarily for adding liquidity to the exchanges and may also be provided for taking liquidity.

Ownership Interests in US Equity/Option Exchanges or Other Routing Venues:

NSI does not hold any investments in any of the US equity or option exchanges. However, since certain of these venues are publicly held institutions whose securities trade on a national securities exchange, NSI may, through the normal course of business, purchase and sell shares in these venues. With respect to routing venues, Instinet, Inc., which NSI may use as a routing venue from time to time, is an affiliate of NSI.

Nomura - Held NMS Stocks and Options Order Routing Public Report

October 2022, s&p 500 stocks.

* Please scroll horizontally to look at table below.

Material Aspects:

Non-S&P 500 Stocks

INSTINET: NSI routes the majority of customer orders in equity securities, including options, to Instinet, an affiliated broker-dealer, for execution. Instinet routes NSI’s orders to national securities exchanges, alternative trading systems, and other market centers. NSI maintains a pass-through relationship with Instinet, whereby Instinet charges or remits payment to NSI based partially on the amount of the rebates received from, or fees paid to, market centers. Instinet passes 50% of marketing fees received from market makers preferred on customer orders routed to exchanges. Instinet and NSI do not maintain any other payment for order flow arrangements with respect to listed options. Instinet pays or charges NSI based on the published exchange schedule for customer orders, and not based on any more favorable pricing that Instinet may receive as a result of other aggregated order flow. Information reflecting tiered pricing/payment schedules, as applicable to NSI, can be found at: https://www.nomuraholdings.com/company/group/americas/data/2022_4q_rates.pdf

CASY: No material aspects to disclose

ICAP: No material aspects to disclose

Pyramid: No material aspects to disclose

XFA: No material aspects to disclose

Lakeshore: No material aspects to disclose

MACRO RISK ADVISORS LLC: No material aspects to disclose

DYNAMEX TRADING, LLC: No material aspects to disclose

GFI Securities LLC: No material aspects to disclose

MAXIM: No material aspects to disclose

TULLETT PREBON FINANCIAL SERVICES LLC: No material aspects to disclose

November 2022

Baycrest: No material aspects to disclose

December 2022

TRADITION SECURITIES AND DERIVATIVES INC.: No material aspects to disclose

CANACCORD GENUITY INC.: No material aspects to disclose

Previous Reports

SEC Rule 606 Reporting

Easily and effectively comply with the sec 606 order routing disclosure regulations..

In 2018, the Securities and Exchange Commission (“SEC”) announced updates to Rule 606 in an effort to ensure that broker-dealers are acting in the best interest of their clients. These enhancements pertain to rebates, fees and order routing related to Best Execution mandates.

The S3 Solution

S3 is the leading provider of automated 606 reporting solutions. Our team of industry experts actively monitors and communicates with the SEC to ensure that these reports are in compliance.

S3 Product Features

• Mitigates unnecessary information leakage by offering the least data possible whilst remaining in compliance with reporting guidelines
• Allows the introducing broker to produce the required look-through data without viewing the details beyond the required data (when counterparties utilize S3 606 Reporting)
• Ensures that an introducing broker’s customer ID is not seen by the executing broker
• Ability to drill down to a granular level of analytical detail to verify data
• Generates reports that are in compliance with 606 requirements
• Easily produces 606 reports with one click

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Key SEC Updates

Report 606(a)(1)

• In depth information regarding venues, orders and executions
• Held NMS Equity and Option orders less than $50,000 must be disclosed
• Marketability of security at route time
• Detailed fee and rebate disclosure
• Required to be in XML and PDF Format
• Firms must begin collecting data January 1, 2020

Report 606(b)(1)

• Upon request, XML and PDF reports for held, exempt not-held and options orders
• Detailed order execution data, including execution venue and time for any customer order
• Firms must begin collecting data October 1, 2019

Report 606(b)(3)

• Upon request, XML and PDF reports for not-held orders must be provided within 7 days
• Actionable Indications of Interest (IOIs) including venues that received the IOI
• Order Routing, including size and further routable instructions
• Order Execution, including volumes, fees, rebates, spread position
• Liquidity, including whether liquidity was provided or removed, fees and rebates associated with time or execution
• Firms must begin collecting first route data January 1, 2020, and second route data June 1, 2020

External Links

View Full SEC Release Here

About Recursive Routing Analysis

17 CFR § 242.606 - Disclosure of order routing information.

(a) Quarterly report on order routing.

(1) Every broker or dealer shall make publicly available for each calendar quarter a report on its routing of non-directed orders in NMS stocks that are submitted on a held basis and of non-directed orders that are customer orders in NMS securities that are option contracts during that quarter broken down by calendar month and keep such report posted on an internet website that is free and readily accessible to the public for a period of three years from the initial date of posting on the internet website. Such report shall include a section for NMS stocks - separated by securities that are included in the S&P 500 Index as of the first day of that quarter and other NMS stocks - and a separate section for NMS securities that are option contracts. Such report shall be made available using the most recent versions of the XML schema and the associated PDF renderer as published on the Commission's website for all reports required by this section. Each section in a report shall include the following information:

(i) The percentage of total orders for the section that were non-directed orders , and the percentages of total non-directed orders for the section that were market orders, marketable limit orders, non-marketable limit orders, and other orders;

(ii) The identity of the ten venues to which the largest number of total non-directed orders for the section were routed for execution and of any venue to which five percent or more of non-directed orders were routed for execution, the percentage of total non-directed orders for the section routed to the venue, and the percentages of total non-directed market orders , total non-directed marketable limit orders , total non-directed non-marketable limit orders , and total non-directed other orders for the section that were routed to the venue;

(iii) For each venue identified pursuant to paragraph (a)(1)(ii) of this section, the net aggregate amount of any payment for order flow received, payment from any profit-sharing relationship received, transaction fees paid, and transaction rebates received, both as a total dollar amount and per share , for each of the following non-directed order types:

(A) Market orders;

(B) Marketable limit orders;

(C) Non-marketable limit orders; and

(D) Other orders.

(iv) A discussion of the material aspects of the broker's or dealer's relationship with each venue identified pursuant to paragraph (a)(1)(ii) of this section, including a description of any arrangement for payment for order flow and any profit-sharing relationship and a description of any terms of such arrangements, written or oral, that may influence a broker's or dealer's order routing decision including, among other things:

(A) Incentives for equaling or exceeding an agreed upon order flow volume threshold, such as additional payments or a higher rate of payment;

(B) Disincentives for failing to meet an agreed upon minimum order flow threshold, such as lower payments or the requirement to pay a fee;

(C) Volume-based tiered payment schedules; and

(D) Agreements regarding the minimum amount of order flow that the broker-dealer would send to a venue.

(2) A broker or dealer shall make the report required by paragraph (a)(1) of this section publicly available within one month after the end of the quarter addressed in the report.

(b) Customer requests for information on order routing.

(1) Every broker or dealer shall, on request of a customer , disclose to its customer , for:

(i) Orders in NMS stocks that are submitted on a held basis;

(ii) Orders in NMS stocks that are submitted on a not held basis and the broker or dealer is not required to provide the customer a report under paragraph (b)(3) of this section; and

(iii) Orders in NMS securities that are option contracts, the identity of the venue to which the customer 's orders were routed for execution in the six months prior to the request, whether the orders were directed orders or non-directed orders , and the time of the transactions, if any, that resulted from such orders . Such disclosure shall be made available using the most recent versions of the XML schema and the associated PDF renderer as published on the Commission's website for all reports required by this section.

(2) A broker or dealer shall notify customers in writing at least annually of the availability on request of the information specified in paragraph (b)(1) of this section.

(3) Except as provided for in paragraphs (b)(4) and (5) of this section, every broker or dealer shall, on request of a customer that places, directly or indirectly, one or more orders in NMS stocks that are submitted on a not held basis with the broker or dealer, disclose to such customer within seven business days of receiving the request, a report on its handling of such orders for that customer for the prior six months by calendar month. Such report shall be made available using the most recent versions of the XML schema and the associated PDF renderer as published on the Commission's website for all reports required by this section. For purposes of such report, the handling of a NMS stock order submitted by a customer to a broker-dealer on a not held basis includes the handling of all child orders derived from that order . Such report shall be divided into two sections: One for directed orders and one for non-directed orders . Each section of such report shall include, with respect to such order flow sent by the customer to the broker or dealer, the total number of shares sent to the broker or dealer by the customer during the relevant period; the total number of shares executed by the broker or dealer as principal for its own account; the total number of orders exposed by the broker or dealer through an actionable indication of interest; and the venue or venues to which orders were exposed by the broker or dealer through an actionable indication of interest, provided that, where applicable, a broker or dealer must disclose that it exposed a customer 's order through an actionable indication of interest to other customers but need not disclose the identity of such customers . Each section of such report also shall include the following columns of information for each venue to which the broker or dealer routed such orders for the customer , in the aggregate:

(i) Information on Order Routing. (A) Total shares routed;

(B) Total shares routed marked immediate or cancel;

(C) Total shares routed that were further routable; and

(D) Average order size routed.

(ii) Information on Order Execution.

(A) Total shares executed;

(B) Fill rate ( shares executed divided by the shares routed);

(C) Average fill size;

(D) Average net execution fee or rebate (cents per 100 shares, specified to four decimal places);

(E) Total number of shares executed at the midpoint;

(F) Percentage of shares executed at the midpoint;

(G) Total number of shares executed that were priced on the side of the spread more favorable to the order ;

(H) Percentage of total shares executed that were priced at the side of the spread more favorable to the order ;

(I) Total number of shares executed that were priced on the side of the spread less favorable to the order ; and

(J) Percentage of total shares executed that were priced on the side of the spread less favorable to the order .

(iii) Information on Orders that Provided Liquidity.

(A) Total number of shares executed of orders providing liquidity;

(B) Percentage of shares executed of orders providing liquidity;

(C) Average time between order entry and execution or cancellation, for orders providing liquidity (in milliseconds); and

(D) Average net execution rebate or fee for shares of orders providing liquidity (cents per 100 shares , specified to four decimal places).

(iv) Information on Orders that Removed Liquidity.

(A) Total number of shares executed of orders removing liquidity;

(B) Percentage of shares executed of orders removing liquidity; and

(C) Average net execution fee or rebate for shares of orders removing liquidity (cents per 100 shares , specified to four decimal places).

(4) Except as provided below, no broker or dealer shall be required to provide reports pursuant to paragraph (b)(3) of this section if the percentage of shares of not held orders in NMS stocks the broker or dealer received from its customers over the prior six calendar months was less than five percent of the total shares in NMS stocks the broker or dealer received from its customers during that time (the “five percent threshold” for purposes of this paragraph). A broker or dealer that equals or exceeds this five percent threshold shall be required (subject to paragraph (b)(5) of this section) to provide reports pursuant to paragraph (b)(3) of this section for at least six calendar months (“Compliance Period”) regardless of the percentage of shares of not held orders in NMS stocks the broker or dealer receives from its customers during the Compliance Period. The Compliance Period shall begin the first calendar day of the next calendar month after the broker or dealer equaled or exceeded the five percent threshold, unless it is the first time the broker or dealer has equaled or exceeded the five percent threshold, in which case the Compliance Period shall begin the first calendar day four calendar months later. A broker or dealer shall not be required to provide reports pursuant to paragraph (b)(3) of this section for orders that the broker or dealer did not receive during a Compliance Period. If, at any time after the end of a Compliance Period, the percentage of shares of not held orders in NMS stocks the broker or dealer received from its customers was less than five percent of the total shares in NMS stocks the broker or dealer received from its customers over the prior six calendar months, the broker or dealer shall not be required to provide reports pursuant to paragraph (b)(3) of this section, except for orders that the broker or dealer received during the portion of a Compliance Period that remains covered by paragraph (b)(3) of this section.

(5) No broker or dealer shall be subject to the requirements of paragraph (b)(3) of this section with respect to a customer that traded on average each month for the prior six months less than $1,000,000 of notional value of not held orders in NMS stocks through the broker or dealer.

(c) Exemptions. The Commission may, by order upon application, conditionally or unconditionally exempt any person, security, or transaction, or any class or classes of persons, securities, or transactions, from any provision or provisions of this section, if the Commission determines that such exemption is necessary or appropriate in the public interest, and is consistent with the protection of investors.

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Rule 606 Disclosure of Order Routing Information

SEC Rule 606 requires broker-dealers that route orders in certain equity and option securities to make available quarterly reports that present a general overview of their routing practices.

Quarter 4, 2022 (PDF)

Quarter 4, 2022 (XML)

Quarter 3, 2022 (PDF)

Quarter 3, 2022 (XML)

Quarter 2, 2022 (PDF)

Quarter 2, 2022 (XML)

Quarter 1, 2022 (PDF)

Quarter 1, 2022 (XML)

Quarter 4, 2021 (PDF)

Quarter 4, 2021 (XML)

Quarter 3, 2021 (PDF)

Quarter 3, 2021 (XML)

Quarter 2, 2021 (PDF)

Quarter 2, 2021 (XML)

Quarter 1, 2021 (PDF)

Quarter 1, 2021 (XML)

Quarter 4, 2020 (PDF)

Quarter 4, 2020 (XML)

Quarter 3, 2020 (PDF)

Quarter 3, 2020 (XML)

Quarter 2, 2020 (PDF)

Quarter 2, 2020 (XML)

Quarter 1, 2020 (PDF)

Quarter 1, 2020 (XML)

SEI Investments Distribution Co. Rule 605 and 606 Reports

To make both the execution quality of the securities markets and order routing performance of brokerage firms available to the public, the Securities and Exchange Commission (SEC) adopted Rule 605 and Rule 606.

• Rule 605 --  Market centers that trade national market system securities and options must publicly disclose uniform statistical measures of order execution quality on a monthly basis. The measures should include, but are not limited to, how market orders of various sizes are executed relative to the public quotes and information about spreads paid by investors.
• Rule 606 --  Broker/dealers must make quarterly reports available to the public, disclosing their order routing practices for orders that are not directed to specific exchanges and trading venues.

SEI Investments Distribution Co. (SIDCO) is not a market center, so it is not subject to Rule 605 reporting. However, because SIDCO routes orders to executing and clearing firms who further route the orders to the trading venues, it is adopting the executing and clearing firm’s Rule 606 Order Routing Disclosure, since it fairly represents the routing statistics customers can expect with a standard order.

Disclosure information

The following list includes Rule 605 execution quality and Rule 606 order routing disclosure information for the brokerage firms SEI Brokerage has available. Money managers can obtain statistics regarding the quality of the executions they are receiving from the firms where they direct transactions, as well as obtain the order routing disclosure information for those firms.

BofA Securities, Inc. 

Rule 605 and 606

Cantor Fitzgerald & Co

Rule 605  (Select Company Name: CANT-Cantor Fitzgerald & Co)

Citigroup Global Markets Inc.

Rule 605  (Select Company Name: SBSH-Citigroup Global Markets)

Rule 606  (Select Broker/Dealer: Citigroup Global Markets 1-6)

Industrial and Commercial Bank of China Financial Services LLC

J.P. Morgan Securities LLC

Rule 605   (Select Company Name: JPMS)

Rule 606  (Select Broker/Dealer: JP Morgan Securities)

Pershing LLC

Rule 606  (PDF)

Virtu Americas LLC

Rule 605 and Rule 60