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How costs are calculated

The round-trip figure is the average cost, in dollars, of buying the quantity you entered and selling it straight back. It adds the book you cross, the broker’s own charges, and a tax when that schedule names one. The fees column is those charges without the book.

The formula

On a US listing the book starts from Rule 605: the effective spread a retail order of 100 to 499 shares paid, price improvement included, in dollars per share. Nasdaq, NYSE, NYSE Arca, NYSE American and Cboe BZX share that figure. Rule 606 then scales it by where that broker-dealer sends held market and marketable-limit orders. The calculation starts from that asset's price-improved 605 and multiplies it by a coefficient particular to the broker, which corrects the 605 for the wholesaler that broker uses. Q is the average proportion between the 605 and the 606s of each wholesaler.

S_n

The blended Rule 605 effective spread of name n.

S_t,n

The spread of the same name, from the firm that venue t is.

w_t

The share of this broker’s held market and marketable-limit orders sent to t, from its Rule 606 report.

An exchange, an ATS or an unnamed venue is not given a ratio of 1. Its ratio is the reconstructed quoted spread divided by the blended effective spread. A quoted touch is wider than what retail orders actually paid, so a broker that sends most of its flow there has a Q above 1.

Outside the US the book is a two-sided bid and ask, in basis points. Each reading is brought back to the average hour of the session, and the published figure is the median of those readings. Q is not applied.

The round trip the page prints is that book, plus the broker’s charges, plus a named tax.

Which case applies

• A listing

  • US book

    Rule 605, dollars per share. The same figure for every US venue of that symbol.

    • A 606 mix exists

      book = S × Q

      • US broker-dealer

        It files its own 606.

        Ally, Alpaca, Canaccord, Cash App, ChoiceTrade, Cobra, Firstrade, Robinhood, Siebert, SoFi, SogoTrade, T. Rowe Price, TradeUP, TradeZero, Tradier

      • Broker outside the US

        It does not file a 606. The order goes to the US broker-dealer it names, and that dealer’s Q is used.

    • No 606 mix

      The book is the average NBBO: the quoted national best bid and offer of that name, not a wholesaler’s effective spread.

  • Book outside the US

    The book is the average spread of the venue.

    • A public tape

      book = amount × bp / 10,000, from that venue’s own bid and ask.

    • No public tape

      The book is the bid and ask that broker prints: Trade Republic on TIB, Quantfury, a crypto quote. One side missing leaves the total N/A.

Q of each US broker