Sådan beregnes omkostningerne
Prisen for køb og salg er den gennemsnitlige omkostning i dollar ved at købe det indtastede beløb og sælge det igen med det samme. Den lægger markedets spread, mæglerens kurtage og eventuel transaktionsskat sammen. Kolonnen med kurtage viser mæglerens egne gebyrer og skat uden spread.
Formlen
På amerikanske børser tager spreadet udgangspunkt i Rule 605: det effektive spread, som en detailordre på 100 til 499 aktier betalte inklusive prisforbedring, målt i dollar pr. aktie. Nasdaq, NYSE, NYSE Arca, NYSE American og Cboe BZX deler dette tal. Rule 606 skalerer derefter spreadet efter, hvilke markedsstillere (wholesalers) børsmægleren sender sine markedsordrer til. Beregningen ganger aktiens Rule 605-spread med en mæglerspecifik koefficient Q.
- Sn
- Det gennemsnitlige effektive Rule 605-spread for værdipapir n.
- St,n
- Det effektive spread for samme værdipapir hos markedsstilleren t.
- wt
- Andelen af markedsordrer, som denne mægler sender til t ifølge sin Rule 606-rapport.
En børs, et ATS eller en unavngiven handelsplads får ikke ratioen 1. Dens ratio er det noterede spread divideret med det gennemsnitlige effektive spread. Da det noterede spread på børsen er bredere end det, detailordrer faktisk betaler, får en mægler, der sender størstedelen af sit flow direkte på børsen, et Q over 1.
Uden for USA måles spreadet ud fra købs- og salgskurser (bid-ask) i basispoint. Hver måling normaliseres i forhold til handelstimen, og det offentliggjorte tal er medianen af målingerne. Q anvendes ikke.
Den samlede pris for køb og salg i tabellen er dette spread plus mæglerens kurtage plus en eventuel afgift.
Hvilket tilfælde der gælder
-
En notering
-
Amerikansk ordrebog
Rule 605, dollar pr. aktie. Samme tal for alle amerikanske børser for det pågældende symbol.
-
Rule 606-fordeling findes
book = S × Q
-
Amerikansk børsmægler (US broker-dealer)
Indberetter sin egen Rule 606-rapport.
Ally, Alpaca, Canaccord, Cash App, ChoiceTrade, Cobra, Firstrade, Robinhood, Siebert, SoFi, SogoTrade, T. Rowe Price, TradeUP, TradeZero, Tradier
-
Mægler uden for USA
Indberetter ikke selv Rule 606. Ordren sendes til den amerikanske børsmægler, som mægleren angiver, og dennes Q anvendes.
-
-
Ingen Rule 606-fordeling
Spreadet er det gennemsnitlige NBBO (bedste nationale købs- og salgskurs) uden prisforbedring fra en markedsstiller.
-
-
Ordrebog uden for USA
Spreadet er det gennemsnitlige spread på handelspladsen.
-
Offentlig ordrebog
book = amount × bp / 10,000, beregnet ud fra børsens egne købs- og salgskurser.
-
Ingen offentlig ordrebog
Spreadet er de købs- og salgskurser, som mægleren selv stiller (Trade Republic på TIB, Quantfury). Mangler den ene side, vises N/A.
-
-
Q-faktor for hver amerikansk mægler
| Mægler | Q | Hvor markedsordrer sendes hen |
|---|---|---|
| Tradier | 0.837 | Citadel 22% · Virtu 20% · GTS 20% · Jane Street 18% · Hudson River 18% · G1 2% · Instinet 0% |
| TradeStation Securities | 0.838 | G1 35% · Hudson River 20% · Virtu 19% · Two Sigma 10% · Jane Street 9% · Citadel 4% · exchanges and ATS 2% · UBS 1% |
| Tastytrade Inc | 0.889 | Citadel 42% · Hudson River 31% · G1 19% · Virtu 8% · Jane Street 1% |
| Morgan Stanley Smith Barney LLC | 0.896 | Morgan Stanley & Co. 29% · Citadel 24% · G1 17% · Hudson River 10% · Virtu 10% · Jane Street 6% · Two Sigma 3% · GTS 1% · exchanges and ATS 0% |
| Robinhood | 0.945 | Virtu 34% · Citadel 23% · Jane Street 17% · G1 11% · Hudson River 10% · Two Sigma 5% |
| SoFi | 0.979 | Citadel 20% · Virtu 19% · GTS 18% · Jane Street 17% · Hudson River 16% · G1 6% · exchanges and ATS 5% |
| Charles Schwab & Co., Inc. | 0.998 | Citadel 42% · Virtu 23% · Hudson River 11% · G1 10% · Jane Street 9% · Two Sigma 5% |
| Alpaca | 1.005 | Citadel 41% · Jane Street 29% · Virtu 22% · GTS 7% |
| Wealthfront Brokerage LLC | 1.010 | Citadel 45% · Virtu 33% · Hudson River 12% · GTS 10% |
| Citigroup Global Markets Inc. | 1.025 | Citadel 25% · Jane Street 19% · G1 19% · Virtu 13% · Hudson River 11% · Two Sigma 6% · UBS 4% · exchanges and ATS 4% |
| Cash App | 1.028 | Virtu 100% · Citadel 0% · Jane Street 0% · Hudson River 0% |
| Jefferies LLC | 1.028 | Virtu 100% |
| GTN Americas Financial Services, Inc. | 1.035 | Citadel 40% · Jane Street 37% · Two Sigma 23% |
| Digital Brokerage Services LLC | 1.035 | Virtu 31% · Citadel 27% · Hudson River 22% · Two Sigma 20% · exchanges and ATS 1% |
| U.S. Bancorp Advisors, LLC | 1.036 | Citadel 29% · Virtu 22% · G1 22% · Jane Street 14% · Hudson River 7% · exchanges and ATS 4% · Two Sigma 2% · UBS 0% |
| First Citizens Investor Services, Inc. | 1.072 | Citadel 26% · Jane Street 18% · G1 15% · Hudson River 12% · Virtu 12% · UBS 6% · Two Sigma 6% · exchanges and ATS 5% · GTS 0% |
| Pershing LLC | 1.074 | Citadel 24% · Jane Street 19% · G1 15% · Hudson River 12% · Virtu 11% · UBS 7% · Two Sigma 6% · exchanges and ATS 5% · GTS 1% |
| Stifel, Nicolaus & Company, Incorporated | 1.074 | Virtu 30% · Jane Street 28% · GTS 19% · Citadel 17% · exchanges and ATS 6% |
| Futu Clearing Inc. | 1.093 | Citadel 63% · Jane Street 27% · Virtu 10% |
| Empower Financial Services, Inc. | 1.096 | Citadel 24% · Jane Street 19% · G1 18% · Virtu 12% · Hudson River 10% · exchanges and ATS 6% · Two Sigma 6% · UBS 5% · GTS 0% |
| Deutsche Bank Securities Inc. | 1.100 | Citadel 22% · Jane Street 18% · G1 16% · Virtu 12% · Hudson River 12% · Two Sigma 6% · UBS 6% · exchanges and ATS 6% · GTS 1% |
| Vision Financial Markets LLC | 1.101 | Two Sigma 49% · Citadel 44% · Hudson River 7% |
| BOK Financial Securities, Inc. | 1.105 | Citadel 26% · Jane Street 18% · G1 16% · Virtu 13% · Hudson River 10% · exchanges and ATS 6% · UBS 6% · Two Sigma 5% · GTS 0% |
| Robert W. Baird & Co. Incorporated | 1.111 | Citadel 48% · Two Sigma 19% · Virtu 14% · Jane Street 13% · G1 4% · exchanges and ATS 1% |
| Ally | 1.119 | Citadel 26% · Virtu 25% · G1 24% · Two Sigma 20% · exchanges and ATS 5% |
| BTG Pactual US Capital, LLC | 1.138 | Citadel 25% · Jane Street 17% · G1 17% · Virtu 12% · Hudson River 11% · exchanges and ATS 7% · Two Sigma 5% · UBS 5% · GTS 1% |
| ViewTrade Securities, Inc. | 1.140 | Citadel 52% · Two Sigma 25% · Virtu 24% |
| RBC Capital Markets, LLC | 1.141 | Citadel 20% · Jane Street 17% · Virtu 13% · Hudson River 12% · Two Sigma 10% · G1 10% · UBS 9% · exchanges and ATS 7% · GTS 2% |
| RBC Capital Markets, LLC | 1.143 | Virtu 33% · UBS 31% · Citadel 24% · GTS 10% · exchanges and ATS 2% |
| Firstrade | 1.150 | Citadel 62% · Virtu 38% |
| Axos Invest LLC | 1.152 | UBS 51% · Two Sigma 49% |
| LPL Financial LLC | 1.155 | Citadel 30% · Jane Street 24% · Virtu 18% · G1 8% · GTS 6% · exchanges and ATS 6% · UBS 6% · Two Sigma 3% |
| T. Rowe Price | 1.157 | Citadel 24% · Jane Street 18% · G1 17% · Virtu 12% · Hudson River 10% · exchanges and ATS 8% · Two Sigma 6% · UBS 5% · GTS 0% |
| TradeZero | 1.169 | Virtu 44% · Citadel 36% · Two Sigma 18% · exchanges and ATS 2% |
| Webull Financial LLC | 1.178 | Citadel 45% · Virtu 23% · Jane Street 18% · Hudson River 10% · exchanges and ATS 5% |
| American Enterprise Investment Services Inc. | 1.180 | Citadel 30% · G1 18% · Virtu 14% · Jane Street 14% · UBS 14% · exchanges and ATS 6% · Two Sigma 5% |
| American Century Investment Services, Inc. | 1.182 | Citadel 23% · Jane Street 18% · G1 17% · Virtu 11% · Hudson River 10% · exchanges and ATS 9% · Two Sigma 6% · UBS 5% · GTS 0% |
| StoneX Financial Inc. | 1.187 | Citadel 90% · Jane Street 10% |
| TIAA-CREF Individual & Institutional Services, LLC | 1.203 | Citadel 23% · Jane Street 17% · G1 17% · Virtu 11% · Hudson River 10% · exchanges and ATS 9% · Two Sigma 6% · UBS 5% · GTS 0% |
| Paulson Investment Company LLC | 1.227 | Citadel 100% |
| Regal Securities, Inc. | 1.227 | Citadel 100% |
| TradeUP | 1.245 | Citadel 77% · Jane Street 15% · Virtu 4% · exchanges and ATS 3% |
| iFAST Securities US Corporation | 1.247 | Virtu 93% · exchanges and ATS 7% |
| XP Investments US, LLC | 1.252 | Citadel 99% · exchanges and ATS 1% |
| J.P. Morgan Securities LLC | 1.276 | G1 36% · Virtu 21% · exchanges and ATS 16% · GTS 13% · Citadel 10% · Jane Street 5% |
| RQD* Clearing, LLC | 1.308 | Citadel 60% · Two Sigma 13% · Jane Street 11% · Virtu 10% · exchanges and ATS 6% |
| Siebert | 1.336 | Siebert 29% · Virtu 27% · Jane Street 17% · Citadel 17% · UBS 10% |
| Intesa Sanpaolo IMI Securities Corp. | 1.353 | Virtu 46% · Citadel 46% · exchanges and ATS 8% |
| SogoTrade | 1.420 | Citadel 93% · exchanges and ATS 7% |
| National Financial Services LLC | 1.504 | Citadel 24% · exchanges and ATS 19% · Virtu 19% · G1 18% · Jane Street 12% · Hudson River 6% · Two Sigma 1% · UBS 0% |
| Lightspeed Financial Services Group LLC | 1.554 | exchanges and ATS 22% · Virtu 18% · Citadel 16% · Hudson River 15% · GTS 13% · Jane Street 13% · G1 2% · UBS 1% · Instinet 1% · Coda 0% |
| Truist Investment Services, Inc. | 1.650 | exchanges and ATS 24% · Citadel 23% · Virtu 18% · G1 17% · Jane Street 11% · Hudson River 6% · Two Sigma 1% · UBS 0% |
| MCAP LLC | 1.671 | Two Sigma 79% · exchanges and ATS 21% |
| Apex Clearing Corporation | 1.686 | Virtu 48% · exchanges and ATS 22% · Citadel 21% · Jane Street 7% · Hudson River 2% |
| Wedbush Securities Inc. | 1.757 | Citadel 71% · exchanges and ATS 20% · Virtu 9% |
| UMB Financial Services, Inc. | 1.826 | exchanges and ATS 30% · Citadel 21% · G1 16% · Virtu 15% · Jane Street 11% · Hudson River 6% · UBS 1% · Two Sigma 1% · GTS 0% |
| Fidelity Brokerage Services LLC | 1.866 | exchanges and ATS 31% · Citadel 21% · Virtu 17% · G1 15% · Jane Street 10% · Hudson River 5% · Two Sigma 0% |
| Cantor Fitzgerald & Co. | 2.030 | exchanges and ATS 39% · Hudson River 37% · Virtu 23% · Two Sigma 1% |
| Lime Trading Corp | 2.047 | Virtu 31% · exchanges and ATS 31% · Citadel 21% · Siebert 9% · Jane Street 6% · Hudson River 2% |
| Canaccord | 2.403 | Citadel 58% · exchanges and ATS 42% |
| Cobra | 2.500 | Siebert 41% · Instinet 29% · exchanges and ATS 16% · Virtu 11% · Coda 3% |
| DriveWealth, LLC | 2.802 | DWWT 100% |
| Interactive Brokers LLC | 3.076 | IBKR ATS 42% · exchanges and ATS 39% · IBKR Corp 12% · Citadel 3% · Hudson River 3% · Jane Street 1% |
| HSBC Securities (USA) Inc. | 3.122 | exchanges and ATS 68% · UBS 32% |
| UBS Securities LLC | 3.152 | exchanges and ATS 69% · UBS 31% |
| Wells Fargo Clearing Services, LLC | 3.468 | exchanges and ATS 82% · Citadel 12% · Virtu 3% · Jane Street 1% · UBS 1% · G1 1% · Two Sigma 1% · GTS 0% |
| Merrill Lynch, Pierce, Fenner & Smith | 3.511 | exchanges and ATS 84% · Virtu 4% · Citadel 4% · Jane Street 3% · Two Sigma 2% · G1 2% · UBS 1% |
| ChoiceTrade | 3.880 | exchanges and ATS 92% · Citadel 4% · Coda 4% |
| Tickrs Clearing | 3.970 | exchanges and ATS 69% · Coda 31% |
| Goldman Sachs & Co. LLC | 4.001 | exchanges and ATS 100% |
| Velox Clearing, LLC | 4.001 | exchanges and ATS 100% |
| BNP Paribas Securities Corp. | — | no market-order mix |
| BofA Securities, Inc. | — | no market-order mix |
| Clear Street | — | no market-order mix |
| Instinet, LLC | — | no market-order mix |
| Morgan Stanley & Co. LLC | — | no market-order mix |
| Nomura Securities International, Inc. | — | no market-order mix |
| Velocity Clearing, LLC | — | no market-order mix |
| Vested | — | no market-order mix |
| Wolverine Execution Services, LLC | — | no market-order mix |