Statistics

Price Improvement

How it's measured: Percentage of shares executed at prices better than the prevailing National Best Bid or Offer (NBBO), i.e., either below the best offer for buys or above the best bid for sells.

Month
Overall Listed
Overall NASDAQ

June 2018

93.4%

90.3%

May 2018

93.6%

90.8%

April 2018

93.2%

91.2%

March 2018

93.3%

90.1%

February 2018

92.4%

91.1%

January 2018

93.9%

92.5%

Execution Price

How it's measured: Percentage of shares executed at or within the National Best Bid or Offer (NBBO), which is a consolidated quote representing the highest bid and lowest offer for a security across all exchanges and/or market makers. It is updated continuously during market hours.

Month
Overall Listed
Overall NASDAQ

June 2018

98.4%

96.8%

May 2018

98.6%

97.2%

April 2018

98.3%

97.1%

March 2018

98.4%

97.0%

February 2018

97.9%

97.2%

January 2018

98.9%

97.9%%

Execution Speed

How it's measured: Average period between the time Fidelity receives an order and the time of order execution.

Effective Spread

How it's measured:áThe distance from the midpoint of the market at the time when your order is entered to the execution price you receive. This value is doubled to capture the whole bid/offer spread. This amount captures both how often, and by how much, a broker-dealer improves the price of a share.

What is Effective Spread

Effective Spread measures the distance from the midpoint of the market at the time when your order is entered to the execution price you receive. This value is doubled to capture the whole bid/offer spread.

For example:

A stock is quoted with a bid of $10.00 and an ask of $10.04 at the time your order is entered. The quoted spread is $0.04. The midpoint price is $10.02 and your buy order is executed at $10.03. The difference between the midpoint ($10.02) and your execution price ($10.03) is $.01. This value is doubled, so the effective spread on your order is $.02. The lower the effective spread value, the better.

A stock is quoted with a bid of $10.00 and an ask of $10.04 at the time your order is entered. The quoted spread is $0.04. The midpoint price is $10.02 and your buy order is executed at $10.03. The difference between the midpoint ($10.02) and your execution price ($10.03) is $.01. This value is doubled, so the effective spread on your order is $.02. The lower the effective spread value, the better.

Effective Spread calculates how much above the midpoint price you paid on a buy order and how much below the midpoint price you received on a sell order.

 
 

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