*NOTE: The archived Appendix B I, II, and IV files (from April 2016 through November 2017) contained material errors. These errors impacted 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.
• All Appendix B statistics in the pre-Pilot period (April 2016 through August 2016), contain only Pre-Pilot Securities that became a Pilot Security. Pre-Pilot Securities that did NOT become a Pilot Security were incorrectly excluded from the statistics.

The archived Appendix B.I. (May and June 2018) and B.II. files (June 2018) contained minor errors. These errors impacted the following statistics and calculations:

• B.I.a.(7) (the cumulative number of orders);
• B.I.a.(8) (the cumulative number of shares of orders);
• B.I.a.(9) (the cumulative number of shares of orders canceled);
• B.I.a.(13) (the cumulative number of shares of orders executed at any other trading center);
• B.I.a.(14) to (20) (time to execute calculations);
• B.I.a.(21) to (27) (time to cancel calculations);
• B.II. Some market and marketable limit orders were improperly excluded from B.II. statistics due to incomplete routing information.

Should you have any questions regarding the data errors, please email your questions to ticksizepilot@finra.org.