Appendix B Data Publication

Appendix B I, II, and IV Files
Attention: The Appendix B I, II, and IV files currently available for download (from April 2016 onwards) contain material errors. These errors impact the following statistics and calculations

Pursuant to FINRA Rule 6191(b)(2)(B) and 6191(b)(3)(C), FINRA publishes the data required by items I, II and IV of Appendix B to the Plan, and collected pursuant to paragraph 6191(b)(2)(A) and 6191(b)(3)(A), on the FINRA website within 120 calendar days following month end at no charge and does not identify the trading center that generated the data.

FINRA publishes the following data:

  • market quality statistics for trading centers for which FINRA or CHX is the designated examining authority (DEA);
  • market and marketable limit order data for trading centers for which FINRA or CHX is the DEA; and
  • daily market maker participation statistics for trading centers for which FINRA or CHX is the DEA.

The Appendix B data is aggregated within groupings of five to 25 trading centers each. The groupings methodology will distinguish between alternative trading systems (ATSs) and non-ATSs, but no other details of the methodology used to formulate the groupings will be disclosed to maintain confidentiality of the published data. Trading center group assignments will not be published and will remain unchanged for the duration of the data publication period (subject to modifications, as appropriate, to account for industry entrants). For additional information on the groupings, please refer to the rule filing.

FINRA began publishing monthly Appendix B data on August 31, 2017. The August publication covers Appendix B data for the period from April 2016 through April 2017. Thereafter, data for a given month will be available on FINRA’s website within 120 calendar days following month end.

Requirements and Technical Specifications

The requirements and associated technical details for file download are available in the Appendix B and C Requirements and Technical Specifications.

Appendix B Data

Files are available for download via HTTP. No user ID or password is required to access the files.

*Attention: The Appendix B I, II, and IV files currently available for download (from April 2016 onwards) contain material errors. These errors impact the following statistics and calculations:

  • B.I.a.(31) (quoted size at the national best bid and national best offer);
  • B.I.b.(2) (the cumulative number of shares of orders executed with price improvement);
  • B.I.b.(3) (for shares executed with price improvement, the share-weighted average amount per share that prices were improved); 
  • B.I.b.(4) (for shares executed with price improvement, the share-weighted average period from the time of order receipt to the time of order execution);
  • B.I.a.(21) to (27) (time to cancel calculations); and
  • For the following B.I and B.II statistics, trades executed as riskless principal by a Trading Center that linked to a TRF report were incorrectly categorized as “At the Trading Center” instead of “Away from the Trading Center:” 
    • B.I.a.(10) (cumulative number of shares of orders executed on the receiving trading center);
    • B.I.a.(13) (cumulative number of shares of orders executed at an away trading center);
    • B.I.a.(28) (share-weighted average realized spread for executions of orders)
    • B.I.b.(1) (share-weighted average effective spread for executions of orders);
    • B.I.b.(2) (cumulative number of shares of orders executed with price improvement);
    • B.I.b.(3) (for shares executed with price improvement, share-weighted average amount per share that prices were improved);
    • B.I.b.(4) (for shares executed with price improvement, share-weighted average period from the time of order receipt or effective time to the time of order execution);
    • B.I.b.(5) (cumulative number of shares of orders executed at the quote at order receipt or effective time);
    • B.I.b.(6) (for shares executed at the quote, share-weighted average period from the time of order receipt or effective time to the time of order execution);
    • B.I.b.(7) (cumulative number of shares of orders executed outside the quote at order receipt or effective time);
    • B.I.b.(8) (for shares executed outside the quote, share-weighted average amount per share that prices were outside the quote at order receipt or effective time);
    •  B.I.b.(9) (for shares executed outside the quote, share-weighted average period from the time of order receipt or effective time to the time of order execution);
    • B.II.r (average execution price-share-weighted average);
    • B.II.s (average execution time-share-weighted average);
    • B.II.t (executed shares);
    • B.II.v (routed shares);
    • B.II.w (routed average execution price-share-weighted average); and
    • B.II.x (average routed execution time-share-weighted average);
  • Riskless Principal trades not linked to a TRF report and reported to OATS with a Reporting Exception Code, were incorrectly excluded from the following statistics:
    • B.I.a.(13) (cumulative number of shares of orders executed at an away trading center);
    • B.I.a.(14) through B.I.a.(20) (cumulative number of shares of orders executed based on time); 
    • B.II.v. (routed shares);
    • B.II.w. (routed average execution price-share-weighted average); and
    • B.II.x. (average routed execution time-share-weighted average);
  • Orders received within 3 seconds of expiration were improperly excluded from B.II statistics if no executions or cancellations occurred before expiration; and
  • For B.IV. OTC Trading Center calculations - market maker at risk shares executed by an OTC Trading Center on a riskless principal basis were incorrectly attributed to the Trading Center acting in a riskless principal capacity instead of the UNK (unknown) Trading Center Category.  

FINRA is in the process of making corrected files available and anticipates they will be available by January 30, 2018. Once available, the below links will be updated to contain the corrected, replacement files and will indicate a “posted date” for each file. The original files will continue to be available for comparison. Should you have any questions regarding the data errors, please email your questions to ticksizepilot@finra.org.

Note: Appendix B monthly files are compressed using gzip compression software. To view these files, users must un-compress the files using decompression program tools/platforms (e.g. UNIX/LINUX/Hadoop etc.) that can handle large file sizes (varying from 40 Megabytes to 20 plus Gigabytes un-compressed).