Tick Size Pilot Case Study

The US Tick Size Pilot is designed to test whether widening the tick size for securities of smaller capitalization companies would impact market quality of those securities. Launched for an initial group of 5 securities on 3rd October 2016, the program will gradually reach the targeted coverage of 1,200 securities by the end of the month. In contrast to SEC’s plan to release initial assessment results in 18 months (by April 2018), the CMCRC and the Tabb Forum jointly publish daily market quality statistics (updated T+10) for impacted security groups through CMCRC’s Market Quality Dashboard from 10th Oct 2016.
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Choose the markets and groups to display in the charts below from this menu:
Overall score
This table gives an indication of the change in direction in the score for each market and metric after the pilot rollout on 2016-10-03. All days in the selected date range are used.
  • An increasing arrow indicates an increasing score. A higher score may be associated with increased market share, or a decreased spread, for example.
  • Custom weights can be specified in the text boxes to alter the impact of that metric in the overall score per market and group.

How is the overall score calculated?

The chart below shows the change in overall score over the entire date range.
Market Share Metrics
Total Volume Share (%) – The percentage of each trading venue's total trading volume over the consolidated trading volume.
Total Value Share (%) – The percentage of each trading venue's total trading value over the consolidated trading value.
Trade Volume and National Best Bid Offer (NBBO) Quoted Depth
Total Trade Volume – The daily total trade volume during each trading venue's trading hours.
Quoted Depth – The average time adjusted quoted bid size plus ask size when each lit trading venue is at the national best bid offer (NBBO).
% time at NBBO – The percentage of time each exchange is at national best bid and ask between 9:30am and 4pm. In contrast to SIP NBBO data, the CMCRC constructs the NBBO in a way that gives multiple exchanges credit when there is a tie. This metric is volume weighted.
NBBO Effective Spread (bps) – The percentage signed difference between trade price in each trading venue and the prevailing NBBO midpoint, measured in basis points. This metric is value weighted.

NBBO Realised Spread (bps) – The percentage signed difference between trade price in each trading venue and NBBO midpoint after a grace period, which is currently set as 10 minutes, measured in basis points. This metric is value weighted.
% of NBBO $depth – The percentage of quoted bid plus ask volume when each exchange is at NBBO between 9:30am and 4pm over the total quoted bid and ask volume. This metric is equal weighed.
Market Efficiency Metrics derived from best bid and offer at market level
Quoted Spread – The difference between each exchange's bid and ask price over the midpoint of the quote measured in basis points. This metric is value weighted.


Effective to Quoted Spread Ratio – A percentage of the quoted spread where execution occurs. A ratio of 1 is equivalent to constantly matching the bid or ask, 0 is equal to constantly being the midpoint trade, and a ratio of more than 1 means the execution quality is worse than the best quote.
Value Share over Depth Share – The ratio of trading value share over the percentage of NBBO $depth between 9:30am and 4pm. This is a proxy for market order routing table position for a trading venue.

Implementation Shortfall – An improved measure of transaction costs, especially for large order trades. We compute the percentage signed difference between the midpoint and the volume-weighted average price (VWAP) of consecutive trades from the same initiator side after a quote, measured in basis points. This metric is value weighted.