What Rule 605 Reports Contain
Rule 605 reports include statistics on how frequently orders received price improvement (execution at prices better than the NBBO), how often orders were executed at exactly the NBBO, and measures of the speed and likelihood of execution. These metrics allow comparison across market makers and provide evidence about whether PFOF claims of price improvement are substantiated by actual execution data.
How to Access 605 Reports
Market makers publish Rule 605 reports on their websites or through third-party filing services. Third-party aggregators like FINRA's own reports and commercial data providers compile 605 data across market makers, making comparison easier. The SEC's website provides guidance on interpreting these reports at investor.gov.
Interpreting Price Improvement Statistics
Citadel Securities and other market makers frequently cite their Rule 605 statistics as evidence that PFOF arrangements benefit retail investors. Critics note that price improvement statistics are measured against the NBBO at the moment of execution — but the NBBO itself may be worse because off-exchange trading reduces the quality of price discovery. This methodological debate is central to the policy disagreement about PFOF.
Academic Analysis
Researchers have used Rule 605 data to study execution quality across brokers and market makers. Studies generally find that PFOF-receiving brokers achieve execution quality that is somewhat worse on average than non-PFOF brokers, though the differences are small on a per-trade basis. The aggregate cost to retail investors is the subject of ongoing academic debate.