*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.

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