The seeds for a dramatic, unprecedented, and permanent transformation of U.S. listed equity markets were planted long before the volatility spike of March 2020, long before the ensuing year of pandemic lockdown impacts, and even long before the more current meme-stock craze of 2021. What these markets have been through - and will continue to go through - is based on a convergence of factors.
The core building block for this transformation - a practice now known to the most casual market observer as payment for order flow (PFOF) - had already been in place since the 1990’s. But while PFOF makes this market frenzy possible, it doesn’t do so alone. Trade workflow automation and the application of high-performance technologies to streaming market data was already providing significant competitive advantages to early quant traders by the late 1990’s. Liquidity fragmentation - particularly off-exchange (or, dark) trading - was born in the wake of Regulation ATS in 1998. And rules around topics like best execution and conditions for minimum spread sizes resulted from the implementation of Regulation NMS in 2005.
In fact, the post-Global Financial Crisis (GFC) regulatory environment played a role in this transformation, as well. In that environment, bank-owned brokerage arms - the incumbent trading powerhouses on Wall Street at the time - struggled to justify the technology budgets, attract the talent, and summon the vision necessary to compete with the growing capabilities of proprietary trading firms (all of which, high-frequency trading firms) wielding industrialized versions of high-performance technologies in U.S. listed markets. They still struggle, with many Wall Street banks retrenching or exiting their market making operations in equities, particularly retail options.
It took a group of young innovators, not long after their completion of undergraduate degrees from Stanford - with a small dose of New York-style trading perspective and a large dose of Silicon Valley-style design perspective - to harness these factors with the critical addition of mobile technology and highly-gamified social media techniques. What started as Chronos Research as of August 2011 - with its mission to provide turnkey high-frequency trading platforms- rapidly became Robinhood by April 2013. Not long thereafter, by December 2013, a $3 million venture capital seed round set the stage for much bigger things to come…
The concept was to introduce a mobile app centered around commission-free trading. This occurred by March 2015. What the founders didn’t expect - nor were they ever quite prepared for - was that the launch of a new (and aggressive) brokerage business model would eventually be mimicked by the largest incumbents, thereby forever altering the U.S. stock market, and disrupting market participants throughout the capital markets ecosystem; a very Robinhood-like maneuver.
Although the historical details are colorful, the story we are about to tell here is not nearly as much about Robinhood The Company or the RobinhoodApp as much as it’s about Robinhood The Catalyst. The data shows that a convergence of factors - the growing adoption and importance of PFOF, the gradual growth in off-exchange trading (and the regulatory arbitrage exploited by proprietary market makers that came with it), the shift in the balance of power from bank-owned market makers to those proprietary market makers (a subset of which known in this space as wholesalers), and the increasing effectiveness of social media-style design techniques, among other factors - contributed to an evolutionary shift in retail interaction with U.S. equity markets dating back to before the RobinhoodApp was conceived.
Exhibit 1, below, illustrates most of the contiguous public history of payments for retail equity order flow - 36 quarters beginning March 2012 - for the leading retail brokers, including estimates for Robinhood’s order routing revenue in 2017, 2018, and 2019 based on their recent S-1 filing. What is shown here are three layers of growth: 1) the illusion of growth brought about by the simple act of private brokers being acquired by public brokers with financial disclosure requirements; 2) organic growth caused by new accounts; and 3) transformational growth caused by an industry shift - en masse - to a commission-free brokerage framework in October 2019.
Exhibit 1: Leading Retail Brokers - Quarterly Order Routing Revenue, Q1 2012 - Q4 2020
In other words, this view shows four phases of PFOF growth beginning with TD Ameritrade - its market behavior influenced by the acquisitions of privately-held Thinkorswim (June 2009) and privately-held Scottrade (September 2017) - and E*Trade. Before the Form 606 disclosure enhancements beginning Q1 2020, PFOF (otherwise known as order routing revenue) is not observable for private companies such as Scottrade and others, nor is PFOF for public companies necessarily observable if those expenses weren’t showcased in income statements or financial footnotes. The illustration above is based only on what is observable or reasonably estimable.
All that said, Robinhood’s aggressive version of the commission-free business model - eventually with added tweaks and twists such as PFOF rates tethered to spreads, no account minimums, stock giveaways, and other unique features - fueled its dramatic growth, ultimately attracting the attention of the largest retail brokerage incumbents and triggering them into adopting the central key to their success: Commission-free trading. Welcome to October 2019.
Order routing revenue is one side of a coin that includes trading activity on the other. They are tied together. If one is up, the other should be expected to be up, as well. Exhibits 2 and 3, below, illustrate this relationship and timing for TD Ameritrade and E*Trade, respectively. Both leading PFOF-receiving retail brokers see new highs in trading activity immediately after adopting the commission-free brokerage model, but before the pandemic lockdown and volatility spike of March 2020.
Exhibit 2: TD Ameritrade - Daily Average Client Trades (millions), Jul 2016 - Aug 2020
The early impacts of the industry-wide shift to a commission-free brokerage model show up on the wholesale market making side, as well. In Exhibit 4, below, the publisher presents the available data for net price improvement value for Citadel Securities over a 75-month span of time beginning October 2014 and ending - with a few gaps in the data - December 2020. Here, January and February 2020 clearly show new highs in total executed shares, which is the other side of the order flow from retail brokers.
Whereas, in comparison to Interactive Brokers (IBKR) - a trading platform (“IBKR Pro”) designed for professional traders that launched a zero-commission version of that platform (“IBKR Lite”) in September 2019 - the timing of new high levels of trading activity do not follow the same pattern as the leading retail brokers (see Exhibit 5, below). This is evidence that commission-free trading mainly impacted a certain demographic of order flow before that phenomenon was obfuscated by the early onset of pandemic-induced market volatility.
With that opening as backdrop, the goal with this case study is to provide 1) a detailed analysis of the factors that drive the commission-free retail brokerage model, 2) the role of wholesale market makers in those factors; 3) how wholesale market makers are the primary beneficiaries of that model, and 4) the long-term impacts of that model on the entire capital markets ecosystem.
Table of Contents
1. Introduction
- Data Sample
2. Table Of Contents
3. Table Of Exhibits
4. Storyboard
- Retail Broker Transformation
- Investor Demographics
- Broker Personas
- Order Routing Revenue
- Wholesale Market Makers
- Nested Alpha Strategy Architecture (Nasa)
- Liquidity Economics Framework
- Captive Order Flow
- Wholesaler Market Share Evolution
- “Price Improvement” Or Regulatory Arbitrage?
- Order Routing Rates
- Market Share By Order Type
- The Retail Flow Factors
- Retail Equity Flow Factor
- Retail Option Flow Factor
5. Conclusion
- Winners, Losers, And Mysteries
- 2021 And Next Steps
6. Glossary And Abbreviations
7. Supplemental Exhibits
- Retail Broker Themes
- Investor Demographics
- Order Routing Practices
- PFOF Rate Heatmaps
- Order Type Distributions
- Order Routing Revenue
- Retail Brokers
- Ally Invest Securities, Llc
- Apex Clearing Corp.
- Charles Schwab Corp.
- E*Trade Securities, Llc
- Interactive Brokers Group, Ltd
- Robinhood Securities, Llc
- Tastyworks
- TD Ameritrade / TD Ameritrade Clearing
- Tradestation
- Webull
- Wholesale Market Maker Themes
- Price Improvement
- Average Order Size
- Market Share Details
- Wholesale Market Makers (Cash Equities)
- Citadel Securities
- G1 Execution Services
- Jane Street
- Two Sigma Securities
- UBS Securities
- Virtu Americas
- Wolverine Securities
8. About the Publisher
- Author
- Contact
Table Of Exhibits
Exhibit 1: Leading Retail Brokers - Quarterly Order Routing Revenue, Q1 2012 - Q4 2020
Exhibit 2: Td Ameritrade - Daily Average Client Trades (Millions), Jul 2016 - Aug 2020
Exhibit 3: E*Trade - Total Trades (Millions), Jan 2016 - Jun 2020
Exhibit 4: Citadel Securities - Total Executed Shares* (Billions), Oct 2014 - Dec 2020 (Available Data)
Exhibit 5: Interactive Brokers - Total Trades (Millions), Jan 2016 - Dec 2020
Exhibit 6: List of Retail Brokers and Wholesale Market Makers Included in this Report, 2020
Exhibit 7: Leading Retail Brokers and Robinhood - Avg Brokerage Account Value ($), July 2016 - April 2021
Exhibit 8: Leading Retail Brokers - Average Brokerage Account Value, July 2016 - April 2021
Exhibit 9: Leading Retail Brokers - Trading Velocity*, Q1 2013 - Q1 2021
Exhibit 10: Leading Retail Brokers - Key Performance Indicators, Q1 2020
Exhibit 11: Leading Retail Brokers - Theoretical Trading Velocity by Category (Log Scale), Q1 2020
Exhibit 12: S&P 500 Stocks - Average Monthly Order Routes by Destination Type, 2020
Exhibit 13: Non-S&P 500 Stocks - Average Monthly Order Routes by Destination Type, 2020
Exhibit 14: Options - Average Monthly Order Routes by Destination Type, 2020
Exhibit 15: S&P 500 Stocks - Monthly Order Distributions by Retail Broker and Order Type, 2020
Exhibit 16: Non-S&P 500 Stocks - Monthly Order Distributions by Retail Broker and Order Type, 2020
Exhibit 17: Options - Monthly Order Distributions by Retail Broker and Order Type, 2020
Exhibit 18: Options - Monthly Order Distributions by Retail Broker and Order Type With Errors, 2020
Exhibit 19: Sample Broker Persona Analysis With Legend, Q1 2020 - Q4 2020
Exhibit 20: S&P 500 Stocks - Order Distribution by Retail Broker, Ranked by Avg Order Dist. Bias, 2020
Exhibit 21: Non-S&P 500 Stocks - Order Dist. By Retail Broker, Ranked by Avg Order Dist. Bias, 2020
Exhibit 22: Options - Order Distribution by Retail Broker, Ranked by Avg Order Dist. Bias, 2020
Exhibit 23: Equity and Option Markets - PFOF by Security Category ($ Millions), 2020
Exhibit 24: Equity and Option Markets - PFOF by Security Category (%), 2020
Exhibit 25: Equity and Option Markets - PFOF by Order Type ($ Millions), 2020
Exhibit 26: Equity and Option Markets - PFOF by Order Type (%), 2020
Exhibit 27: Equity and Option Markets - PFOF by Security Category / Order Type Pair ($M), 2020
Exhibit 28: Equity and Option Markets - PFOF by Security Category / Order Type Pair (%), 2020
Exhibit 29: Equity and Option Markets - PFOF by Retail Broker ($ Millions), 2020
Exhibit 30: Equity and Option Markets - PFOF by Retail Broker (%), 2020
Exhibit 31: Leading Retail Brokers - Annual Order Routing Revenue, 2013- 2020
Exhibit 32: Leading Retail Brokers - Annual Order Routing Revenue Share (%), 2013- 2020
Exhibit 33: Capital Markets Ecosystem Framework (Map) - Information Reception / Transmission Function
Exhibit 34: Capital Markets Ecosystem Framework (Map) - Factor Dimensionality and the “Omnitrade”
Exhibit 35: PFOF and Exchange Liquidity Payments ($ Millions), 2015 - 2020
Exhibit 37: Liquidity Payments by Exchange Group ($ Millions), Q1 2018 - Q4 2020
Exhibit 38: PFOF and Exchange Liquidity Payments ($ Millions), Q1 2018 - Q4 2020
Exhibit 39: PFOF and Exchange Liquidity Payments (%), Q1 2018 - Q4 2020
Exhibit 40: Exchange Liquidity Payments and Wholesaler Order Routing Payments (%), Q1 2018 - Q4 2020
Exhibit 41: is There An Arbitrage Between Exchange Liquidity Payments and PFOF?, Q1 2020 - Q4 2020
Exhibit 42: Us Cash Equities - Wholesale Market Maker Share of PFOF (%), Jan 2011 - Dec 2020.
Exhibit 43: Us Cash Equities - Wholesale Market Maker Share of PFOF (%), 2020
Exhibit 44: Us Equity Options - Wholesale Market Maker Share of PFOF (%), 2020.
Exhibit 45: U.S. Equities and Options - Wholesale Market Maker Share of PFOF (%), 2020
Exhibit 46: Us Cash Equity and Equity Option Markets - PFOF by Wholesale Market Maker ($ Millions), 2020
Exhibit 47: Wholesale Market Maker Opportunistic Strategy Cascade
Exhibit 48: Wholesale Equity Market Makers - Unique Executed Symbols (Ues)*, Jan 2019 - Dec 2020
Exhibit 49: Wholesale Equity Market Makers - Unique Pi Symbols (Upis)*, Jan 2019 - Dec 2020
Exhibit 50: Wholesale Equity Market Makers - Average Ratio Upis/Ues*, 2020
Exhibit 51: Wholesale Equity Market Makers - Total Shares Executed*, Jan 2019 - Dec 2020
Exhibit 52: Wholesale Equity Market Makers - Estimated Value Traded*, Jan 2019 - Dec 2020
Exhibit 53: Wholesale Equity Market Makers - Monthly Average Effective Spread*, Jan 2019 - Dec 2020
Exhibit 54: Wholesale Equity Market Makers - Net Pi Value ($M)*, Apr 2019 - Dec 2020
Exhibit 55: Wholesale Equity Market Makers - Net Pi Value Share (%)*, Apr 2019 - Dec 2020
Exhibit 56: Wholesale Equity Market Makers - Price Improvement Frequency*, Jan 2019 - Dec 2020
Exhibit 57: Total Wtd Avg Net Pi Rate (Twanpir) Per Executed Share*, Jan 2019 - Dec 2020
Exhibit 58: Wholesale Equity Market Makers - Isolated Twanpir Rankings*, Jan 2020 - Dec 2020
Exhibit 59: Wholesale Equity Market Makers - Avg Pi Rate (% Avg Eff. Spread)*, Jan ‘19 - Dec ‘20
Exhibit 60: Wholesale Equity Market Makers - Net Pi Value (% Tot Value Traded, Bps)*, Jan ‘20 - Dec ‘20
Exhibit 61: Wholesale Equity Market Makers - Net Pi Rate (% Value Traded, Bps)*,2020
Exhibit 62: Wemms - Net Pi Rate (% Value Traded, Bps) Correlation Matrix*, Jun 2019 - Dec 2020
Exhibit 63: Wholesale Equity Market Makers - Equity PFOF Rates (% Avg Eff. Spread)*, Jan ‘20 - Dec ‘20
Exhibit 64: S&P 500 Stocks - Wtd Avg PFOF Rates by Retail Broker / Wholesale Market Maker, 2020
Exhibit 65: S&P 500 Stocks - Monthly PFOF Rates by Retail Broker and Order Type, 2020
Exhibit 66: S&P 500 Stocks - Wtd Avg PFOF Rates (Inverted) / Avg Account Values Comparison, 2020
Exhibit 67: Non-S&P 500 Stocks - Wtd Avg PFOF Rates by Retail Broker / Wholesale Market Maker, 2020
Exhibit 68: Non-S&P 500 Stocks - Monthly PFOF Rates by Retail Broker and Order Type, 2020
Exhibit 69: Options - Weighted Average PFOF Rates by Retail Broker / Wholesale Market Maker, 2020
Exhibit 70: Options - Monthly PFOF Rates by Retail Broker and Order Type, 2020
Exhibit 71: S&P 500 Stocks - Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit 72: S&P 500 Stocks - Percentage of Wholesaler Category PFOF by Order Type, 2020
Exhibit 73: S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Wholesaler, 2020
Exhibit 74: S&P 500 Stocks - Percentage of Retail Broker Category PFOF by Wholesaler, 2020
Exhibit 75: S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Order Type, 2020
Exhibit 76: S&P 500 Stocks - Percentage of Retail Broker Category PFOF by Order Type, 2020
Exhibit 77: Non-S&P 500 Stocks - Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit 78: Non-S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Wholesaler, 2020
Exhibit 79: Non-S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Order Type, 2020
Exhibit 80: All Stocks - Percentage of Retail Brokers Total Equities PFOF by Order Type, 2020
Exhibit 81: Options - Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit 82: Options - Cumulative Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit 83: Options - Percentage of Wholesaler Category PFOF by Order Type, 2020
Exhibit 84: Options - Percentage of Category PFOF by Retail Broker and Wholesaler, 2020
Exhibit 85: Options - Percentage of Retail Broker Category PFOF by Wholesaler, 2020
Exhibit 86: Options - Cumulative Percentage of Category PFOF by Retail Broker and Order Type, 2020
Exhibit 87: Options - Percentage of Retail Broker Category PFOF by Order Type, 2020
Exhibit 88: All Products - Percentage of Total PFOF (All Categories) by Retail Broker and Order Type, 202
Exhibit 89: All Products - Percentage of Total Retail Broker PFOF (All Categories) by Order Type, 2020
Exhibit 90: All Products - Percentage of Total PFOF (All Categories) by Wholesaler and Order Type, 2020
Exhibit 91: All Products - Percentage of Total PFOF (All Categories) by Wholesaler and Order Type, 2020
Exhibit 92: All Products - Percentage of Total PFOF (All Categories) by Retail Broker / Wholesaler, 2020
Exhibit 93: All Products - Percentage of Retail Broker Total PFOF (All Categories) by Wholesaler, 2020
Exhibit 94: Capital Markets Ecosystem Framework (Map) - Impacts of Structural Alpha Zone
Exhibit 95: Retail Equity Flow Comparison - 606 Data Vs. 605 Data by Shares, Jan 2020 - Dec 2020
Exhibit 96: Undesignated Off-Exchange Equity Retail Vol* - 606 / 605 Data (% Diff.), Jan 20 - Dec 20
Exhibit 97: Off-Exchange Retail Equity Vol Breakdown* - 606 / 605 Data (% Diff.), Jan 20 - Dec 20
Exhibit 98: Off-Exchange Retail Equity Volume by Wholesaler (Inc Odd Lots/Errors), Jan 2020 - Dec 2020
Exhibit 99: Off-Exchange Retail Equity Volume by Wholesaler (Shares) - Round Lots V. Odd Lots (B), 2020
Exhibit 100: Off-Exchange Retail Equity Volume by Wholesaler - Round Lots Vs. Odd Lots (%), 2020
Exhibit 101: “Retail Equity Flow Factor” - Off-Exchange Retail Volume (% Tot. Vol), Jan ‘20 - Dec ‘20
Exhibit 102: Leading Retail Brokers - Estimated Equity Shares Traded, Jan 2020 - Dec 2020
Exhibit 103: Option Volume Vs. “Retail Option Flow Factor” (% Tot. Vol. One-Sided), Jan ‘20 - Dec ‘20
Exhibit 104: Estimated Retail Option Volume by Retail Broker (Millions), Jan 2020 - Dec 2020
Exhibit 105: E*Trade - Derivative Trades (% Total Trades), Jan 2018 - May 2020
Exhibit 106: Estimated Retail Option Volume by Retail Broker (%), Jan 2020 - Dec 2020
Exhibit 107: “Retail Options Flow Factor” - Top Retail Brokers (% Tot Vol, One-Sided), Jan ‘20 - Dec ‘20
Exhibit 108: Estimated Retail Option Volume by Wholesale Market Maker (Millions), Jan 2020 - Dec 2020
Exhibit 109: Estimated Retail Option Volume by Market Maker (%), Jan 2020 - Dec 2020
Exhibit 110: Comparing Retail Flow Factors (% Total Volume, One-Sided), Jan 2020 - Dec 2020
Exhibit 111: the Robinhood Effect - Annual Order Routing Revenue Share (%), 2013- 2020
Exhibit 112: Robinhood Securities, LLC - Order Type Distribution in S&P 500 Stocks, Q1 2020 - Q1 2021
Exhibit 113: Robinhood Securities, LLC - Order Type Distr. in Non-S&P 500 Stocks, Q1 2020 - Q1 2021
Exhibit 114: Average Price Analysis - On-Exchange Vs. Off-Exchange, Jan 2015 - Apr 2021
Exhibit 115: Retail Equity Flow Factor Impact, Jan 2020 - Mar 2021
Exhibit A1: Sample Retail Brokers - Total Trades, Q1 2013 - Q1 2021
Exhibit A2: Sample Retail Brokers - Average Trades Per Brokerage Account, Q1 2013 - Q1 2021
Exhibit A3: S&P 500 Stocks - Wholesalers Per Retail Broker, Ranked by Avg Monthly Wholesalers, 2020
Exhibit A4: Non-S&P500 Stocks - Wholesalers Per Retail Broker, Ranked by Avg Mon. Wholesalers, 2020
Exhibit A5: Options - Wholesalers Per Retail Broker, Ranked by Avg Monthly Wholesalers, 2020
Exhibit A6: S&P 500 Stocks - Order Routing Rates / Payments, All Order Types, 2020
Exhibit A7: S&P 500 Stocks - Order Routing Rates / Payments, Market Orders, 2020
Exhibit A8: S&P 500 Stocks - Order Routing Rates / Payments, Marketable Limit Orders, 2020
Exhibit A9: S&P 500 Stocks - Order Routing Rates / Payments, Non-Marketable Limit Orders, 2020
Exhibit A10: S&P 500 Stocks - Order Routing Rates / Payments, Other Orders, 2020
Exhibit A11: Non-S&P 500 Stocks - Order Routing Rates / Payments, All Order Types, 2020
Exhibit A12: Non-S&P 500 Stocks - Order Routing Rates / Payments, Market Orders, 2020
Exhibit A13: Non-S&P 500 Stocks - Order Routing Rates / Payments, Marketable Limit Orders, 2020
Exhibit A14: Non-S&P 500 Stocks - Order Routing Rates / Payments, Non-Marketable Limit Orders, 2020
Exhibit A15: Non-S&P 500 Stocks - Order Routing Rates / Payments, Other Orders, 2020
Exhibit A16: Non-S&P 500 Stocks - Order Routing Rates / Payments, All Order Types, 2020
Exhibit A17: Non-S&P 500 Stocks - Order Routing Rates / Payments, Market Orders, 2020
Exhibit A18: Non-S&P 500 Stocks - Order Routing Rates / Payments, Marketable Limit Orders, 2020
Exhibit A19: Non-S&P 500 Stocks - Order Routing Rates / Payments, Non-Marketable Limit Orders, 2020
Exhibit A20: Non-S&P 500 Stocks - Order Routing Rates / Payments, Other Orders, 2020
Exhibit A21: S&P 500 Stocks - Order Distribution by Retail Broker, Ranked by Avg Order Dist. Bias, 2020
Exhibit A22: Non-S&P500 Stocks - Order Dist. By Retail Broker, Ranked by Avg Order Dist. Bias, 2020
Exhibit A23: Options - Order Distribution by Retail Broker, Ranked by Avg Order Distribution Bias, 2020
Exhibit A24: US Cash Equity and Equity Option Markets - PFOF Parallel Segment Comparisons ($M), 2020
Exhibit A25: Ally Invest - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A26: Ally Invest - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A27: Ally Invest - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A28: Ally Invest - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A29: Ally Invest - PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020
Exhibit A30: Ally Invest - PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A31: Ally Invest - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A32: Apex Clearing- PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A33: Apex Clearing- PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A34: Apex Clearing- PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A35: Apex Clearing- PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A36: Apex Clearing- PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020
Exhibit A37: Apex Clearing- PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A38: Apex Clearing - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A39: Charles Schwab - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A40: Charles Schwab - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A41: Charles Schwab - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A42: Charles Schwab - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A43: Charles Schwab - PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020.
Exhibit A44: Charles Schwab - PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A45: Charles Schwab - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A46: E*Trade - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A47: E*Trade - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A48: E*Trade - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A49: E*Trade - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A50: E*Trade - PFOF by Wholesalers ($ Millions), Jan 2020 - Dec 2020
Exhibit A51: E*Trade - PFOF by Wholesalers (%), Jan 2020 - Dec 2020
Exhibit A52: E*Trade - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A53: Ibkr Liquidity Venue Selection by Venue Type, Jan 2020 - Dec 2020
Exhibit A54: Ibkr - S&P500 Non-Directed Orders by Liquidity Venue (%), Jan 2020 - Dec 2020, 2020
Exhibit A55: Ibkr -Non-S&P500 Non-Directed Orders by Liquidity Venue (%), Jan 2020 - Dec 2020, 2020
Exhibit A56: Robinhood Securities, LLC - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A57: Robinhood Securities, LLC - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A58: Robinhood Securities, LLC - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A59: Robinhood Securities, LLC - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A60: Robinhood Securities, LLC - PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020
Exhibit A61: Robinhood Securities, LLC - PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A62: Robinhood Securities, LLC - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A63: Tastyworks - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A64: Tastyworks - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A65: Tastyworks - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A66: Tastyworks - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A67: Tastyworks - PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020.
Exhibit A68: Tastyworks - PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A69: Tastyworks - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A70: Td Ameritrade Group - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A71: Td Ameritrade Group - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A72: Td Ameritrade Group - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A73: Td Ameritrade Group - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A74: Td Ameritrade Corp. - PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020
Exhibit A75: Td Ameritrade Corp. - PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A76: Td Ameritrade Group - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A77: Tradestation - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A78: Tradestation - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A79: Tradestation - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A80: Tradestation - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A81: Tradestation - PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020
Exhibit A82: Tradestation - PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A83: Tradestation - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A84: Webull - PFOF by Product ($ Millions), Jan 2020 - Dec 2020
Exhibit A85: Webull - PFOF by Product (%), Jan 2020 - Dec 2020
Exhibit A86: Webull - PFOF by Order Type ($ Millions), Jan 2020 - Dec 2020
Exhibit A87: Webull - PFOF by Order Type (%), Jan 2020 - Dec 2020
Exhibit A88: Webull - PFOF by Wholesaler ($ Millions), Jan 2020 - Dec 2020
Exhibit A89: Webull - PFOF by Wholesaler (%), Jan 2020 - Dec 2020
Exhibit A90: Webull - Order Type Distribution by Product, Q1 2020 - Q4 2020
Exhibit A91: Citadel Securities - Net Price Improvement Value (Bps), Oct 2014 - Dec 2020 (Available Data)
Exhibit A92: Wholesale Equity Market Makers - Average Order Size in Shares*, Jan 2019 - Dec 2020
Exhibit A93: S&P 500 Stocks - Percentage of Category PFOF by Wholesaler and Order Type, 2020
Exhibit A94: S&P 500 Stocks - Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit A95: S&P 500 Stocks - Cumulative Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit A96: S&P 500 Stocks - Percentage of Wholesaler Category PFOF by Order Type, 2020
Exhibit A97: S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Wholesaler, 2020
Exhibit A98: S&P 500 Stocks - Percentage of Retail Broker Category PFOF by Wholesaler, 2020
Exhibit A99: S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Order Type, 2020
Exhibit A100: S&P 500 Stocks - Percentage of Retail Broker Category PFOF by Order Type, 2020
Exhibit A101: Non-S&P 500 Stocks - Percentage of Category PFOF by Wholesaler and Order Type, 2020
Exhibit A102: Non-S&P 500 Stocks - Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit A103: Non-S&P 500 Stocks - Cum. Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit A104: Non-S&P 500 Stocks - Percentage of Wholesaler Category PFOF by Order Type, 2020
Exhibit A105: Non-S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Wholesaler, 2020
Exhibit A106: Non-S&P 500 Stocks - Percentage of Retail Broker Category PFOF by Wholesaler, 2020
Exhibit A107: Non-S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Order Type, 2020
Exhibit A108: Non-S&P 500 Stocks - Percentage of Retail Broker Category PFOF by Order Type, 2020
Exhibit A109: Non-S&P 500 Stocks - Percentage of Category PFOF by Retail Broker and Order Type, 2020
Exhibit A110: All Stocks - Percentage of Retail Brokers Total Equities PFOF by Order Type, 2020
Exhibit A111: Options - Percentage of Category PFOF by Wholesaler and Order Type, 2020
Exhibit A112: Options - Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit A113: Options - Cumulative Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit A114: Options - Percentage of Wholesaler Category PFOF by Order Type, 2020
Exhibit A115: Options - Percentage of Category PFOF by Retail Broker and Wholesaler, 2020
Exhibit A116: Options - Percentage of Retail Broker Category PFOF by Wholesaler, 2020
Exhibit A117: Options - Cumulative Percentage of Category PFOF by Retail Broker and Order Type, 2020
Exhibit A118: Options - Percentage of Retail Broker Category PFOF by Order Type, 2020
Exhibit A119: Options - Cumulative Percentage of Order Type Category PFOF by Wholesaler, 2020
Exhibit A120: Options - Percentage of Wholesaler Category PFOF by Order Type, 2020
Exhibit A121: All Products - PCT of Total PFOF (All Categories) by Retail Broker and Wholesaler, 2020
Exhibit A122: All Products - PCT of Retail Broker Total PFOF (All Categories) by Wholesaler, 2020
Exhibit A123: All Products - Cum. PCT of Order Type PFOF (All Categories) by Retail Brokers, 2020
Exhibit A124: All Products - PCT of Total Retail Broker PFOF (All Categories) by Order Type, 2020
Exhibit A125: All Products - PCT of Total PFOF (All Categories) by Retail Broker and Order Type, 2020
Exhibit A126: All Products - PCT of Total Retail Broker PFOF (All Categories) by Order Type, 2020
Exhibit A127: All Products - Cum PCT of Total Order Type PFOF (All Categories) by Wholesaler, 2020
Exhibit A128: All Products - PCT of Total Wholesaler PFOF (All Categories) by Order Type, 2020
Exhibit A129: All Products - PCT of Total PFOF (All Categories) by Wholesaler and Order Type, 2020
Exhibit A130: All Products - PCT of Total PFOF (All Categories) by Wholesaler and Order Type, 2020
Exhibit A131: Citadel Securities (CDRG) - Off-Exchange Retail Flow Comp in Shares (B), Jan ‘20 - Dec ‘20
Exhibit A132: Citadel Securities (CDRG) - Off-Exchange Retail Flow* (%), Jan 2020 - Dec 2020, 2020
Exhibit A133: Citadel Securities (CDRG) - 606 Shares (Billions), Jan 2020 - Dec 2020
Exhibit A134: Citadel Securities (CDRG) - 606 Shares (%), Jan 2020 - Dec 2020
Exhibit A135: G1 Execution Services (ETMM) - Off-Exchange Retail Flow Com, Jan 2020 - Dec 2020
Exhibit A136: G1 Execution Services (ETMM) - Off-Exchange Retail Flow*, Jan 20 - Dec 20, 2020
Exhibit A137: G1 Execution Services (ETMM) - 606 Shares (Billions), Jan 2020 - Dec 2020
Exhibit A138: G1 Execution Services (ETMM) - 606 Shares (%), Jan 2020 - Dec 2020
Exhibit A139: Jane Street Execution Services (JNST) - Off-Exchange Retail Flow Comp. Jan ‘20 - Dec ‘20
Exhibit A140: Jane Street Execution Services (JNST) - Off-Exch. Retail Flow*, Jan 20 - Dec 20, 2020.
Exhibit A141: Jane Street Execution Services (JNST) - 606 Shares (Billions), Jan 2020 - Dec 2020
Exhibit A142: Jane Street Execution Services (JNST) - 606 Shares (%), Jan 2020 - Dec 2020
Exhibit A143: Two Sigma Securities (Soho) - Off-Exchange Retail Flow Comparison, Jan 2020 - Dec 2020
Exhibit A144: Two Sigma Securities (Soho) - Off-Exchange Retail Flow*, Jan 2020 - Dec 2020, 2020
Exhibit A145: Two Sigma Securities (Soho) - 606 Shares (Billions), Jan 2020 - Dec 2020
Exhibit A146: Two Sigma Securities (Soho) - 606 Shares (%), Jan 2020 - Dec 2020
Exhibit A147: UBS Securities (UBSS) - Off-Exchange Retail Flow Comparison, Jan 2020 - Dec 2020
Exhibit A148: UBS Securities (UBSS) - Off-Exchange Retail Flow*, Jan 2020 - Dec 2020, 2020
Exhibit A149: UBS Securities (UBSS) - 606 Shares (Billions), Jan 2020 - Dec 2020
Exhibit A150: UBS Securities (UBSS) - 606 Shares (%), Jan 2020 - Dec 2020
Exhibit A151: Virtu Americas (NITE / VIRT) - Off-Exchange Retail Flow Comparison, Jan 2020 - Dec 2020
Exhibit A152: Virtu Americas (NITE / VIRT) - Off-Exchange Retail Flow*, Jan 2020 - Dec 2020, 2020
Exhibit A153: Virtu Americas (NITE / VIRT) - 606 Shares (Billions), Jan 2020 - Dec 2020
Exhibit A154: Virtu Americas (NITE / VIRT) - 606 Shares (%), Jan 2020 - Dec 2020
Exhibit A155: Wolverine Securities (WSEA) - Off-Exchange Retail Flow Comparison, Jan 2020 - Dec 2020
Exhibit A156: Wolverine Securities (WSEA) - Off-Exchange Retail Flow*, Jan 2020 - Dec 2020, 2020
Exhibit A157: Wolverine Securities (WSEA) - 606 Shares (Billions), Jan 2020 - Dec 2020
Exhibit A158: Wolverine Securities (WSEA) - 606 Shares (%), Jan 2020 - Dec 2020
Samples
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Companies Mentioned
- Citadel Securities
- G1 Execution Services
- Jane Street
- Two Sigma Securities
- UBS Securities
- Virtu Americas
- Wolverine Securities
