--- title: "Execution Quality Comparator" description: "Compare effective spread, price improvement, and fill cost across up to three execution scenarios for any stock trade using your NBBO quote and fill prices." canonical: https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/execution-quality-comparator/ source: "Swoopr Investment: https://www.getswoopr.com" --- ## Direct Answer > The execution quality comparator calculates effective spread, price improvement, and slippage from the midpoint for up to three fill scenarios, using the NBBO quote at the time of the order and the actual fill prices received. Comparing these metrics side by side shows which routing outcome delivered the lowest real trading cost, independent of the quoted spread alone. # Execution Quality Comparator Enter the NBBO quote at the time of your order and up to three fill scenarios. The tool calculates effective spread, price improvement, slippage from midpoint, and total fill cost so you can compare routing outcomes side by side. **Educational tool only.** All calculations use hypothetical prices you enter. No real trade data, broker accounts, or credentials are requested or accepted. Results are illustrative estimates, not investment advice. ## Execution Quality Comparator Fill in your trade parameters and NBBO quote, then enter the fill details for each scenario (e.g. different brokers, order types, or routing choices). The tool compares effective spread, price improvement, slippage, and total cost. Step 1, Trade Parameters Shares traded Whole shares only for this calculation Order side Buy Sell NBBO ask at order arrival ($) Best national offer when your order arrived NBBO bid at order arrival ($) Best national bid when your order arrived Ask price must be greater than bid price. Quoted spread: N/A Midpoint: N/A Spread (bps): N/A Step 2, Fill Scenarios (up to 3) Each scenario represents one routing outcome, different brokers, order types, or time-of-day conditions. You can add up to three partial fills per scenario if the order was split across fills. Scenario A Scenario B Scenario C Label: Fill price ($) Shares filled × + Add partial fill Label: Fill price ($) Shares filled × + Add partial fill Label: Fill price ($) Shares filled × + Add partial fill Compare Execution Quality Load example Clear all ### Results Effective spread comparison (¢/share) Price improvement vs. NBBO (¢/share) Total fill cost vs. midpoint ($) Disclaimer: These calculations are based solely on prices you entered and are for educational illustration. They do not reflect real trade confirmations, broker reports, or regulatory disclosures. Price improvement and effective spread figures may differ from official Rule 605/606 statistics. Not investment advice. Print / Save results ## How to Read the Results Each scenario is evaluated against the NBBO you entered. Here is what each metric means and why it matters. | Metric | Formula | What it shows | | --- | --- | --- | | **Quoted spread** | Ask − Bid | The cost of a round-trip at the best public quote. A baseline, not a guarantee. | | **Midpoint** | (Ask + Bid) / 2 | The fair-value reference. Fills above midpoint (buy) or below midpoint (sell) are costs relative to a no-friction benchmark. | | **Effective spread** | Buy: 2 × (Fill − Mid) | Sell: 2 × (Mid − Fill) | Actual round-trip cost implied by your fill. Lower is better. Negative means you crossed to the near side of the midpoint. | | **Price improvement** | Buy: Ask − Fill | Sell: Fill − Bid | Positive = filled better than the NBBO. Negative = filled worse (trade-through or inferior internalization). | | **Slippage from mid** | Buy: Fill − Mid | Sell: Mid − Fill | Cost of immediacy. Half the effective spread. Positive = paid above mid (buy) or received below mid (sell). | | **Fill rate** | Filled shares / Order shares | For partial-fill scenarios, the fraction of the order that was executed. A 100% fill rate is assumed when filled shares equal order shares. | | **Volume-weighted avg price (VWAP fill)** | Sum(fill × qty) / Sum(qty) | For multi-fill scenarios, the effective average price across all partial fills. | | **Total cost vs. mid ($)** | Buy: (Fill − Mid) × Shares | Sell: (Mid − Fill) × Shares | Dollar cost of execution beyond the theoretical midpoint fill. Useful for comparing absolute dollar impact across scenarios. | ### Interpreting the scenario labels - **Best execution**, The scenario with the lowest effective spread (most price improvement) and lowest total cost vs. midpoint. - **Worst execution**, The scenario with the highest effective spread or greatest cost vs. midpoint among the scenarios you entered. - Scenarios with identical effective spreads may still differ in fill rate, a faster, partial fill at the NBBO may be preferable to a complete fill at a worse price in some strategies. ## Frequently Asked Questions - What is effective spread and how is it calculated? + Effective spread measures what you actually paid relative to the midpoint of the NBBO at the time of your order. For a buy order: effective spread = 2 × (fill price − midpoint). For a sell order: effective spread = 2 × (midpoint − fill price). A fill exactly at the midpoint produces a zero effective spread. A fill exactly at the ask (buy) or exactly at the bid (sell) produces an effective spread equal to the full quoted spread. Effective spreads below the quoted spread indicate price improvement; effective spreads above the quoted spread indicate a trade-through or an inferior internalized price. - What counts as price improvement? + Price improvement occurs when a buy order fills below the NBBO ask, or a sell order fills above the NBBO bid. For a buy: improvement per share = ask − fill price. For a sell: improvement per share = fill price − bid. A positive value means you received a better price than the best public quote. A negative value means the execution price was worse than the comparison quote you entered. Treat that as a reason to investigate the timestamp, protected quotes, order type, route, fill details, and any applicable Rule 611 exception. Internalizers may execute eligible orders inside the displayed spread and Rule 605 data can help measure how often and by how much price improvement occurred. The amount of price improvement is not guaranteed by this tool or by the existence of an internalized route. This calculator is an execution-quality diagnostic, not a legal-compliance determination. - What is the difference between quoted spread and effective spread? + The quoted spread is the gap between the best national bid and offer (NBBO ask minus NBBO bid) at the moment your order arrives. It is a snapshot of publicly displayed liquidity. The effective spread is what you actually paid. It is always based on your real fill price relative to the midpoint. Effective spread can be lower than the quoted spread if you received price improvement (a fill between the bid and the midpoint, for a sell, or between the midpoint and the ask, for a buy). It can be higher than the quoted spread if you were filled at a price outside the NBBO, which is an execution-quality flag worth investigating as it may indicate a trade-through of protected quotations or another execution anomaly, depending on order type, route, and applicable exceptions. - Why do different brokers produce different effective spreads for the same stock? + Brokers route orders to different venues, lit exchanges, dark pools, internalizers, or registered market makers, each with different economic incentives and fill algorithms. Payment for order flow (PFOF) arrangements pay brokers for sending retail orders to internalizing market makers. Those market makers earn the spread between what they pay you and the prevailing market price. They may pass through a fraction of a cent of price improvement per share but retain the rest. Direct-access brokers or zero-PFOF brokers route to exchanges where your limit order competes with displayed quotes and can receive execution at or inside the NBBO based on queue position. Rule 605 statistics published monthly by market centers let you compare effective spread averages across venues for specific stocks and order sizes. - What does slippage from midpoint mean in practice? + Slippage from midpoint is the difference between your fill price and the NBBO midpoint at the time of order arrival. For a buyer, positive slippage means you paid above the midpoint, a cost. For a seller, positive slippage means you received below the midpoint, also a cost. Slippage is equivalent to half the effective spread. It represents the combined cost of immediacy (paying for the right to trade now) and any adverse selection component baked into the quote at the time of your order. A fill exactly at the midpoint has zero slippage. A fill at the ask (buy) has slippage equal to half the quoted spread. - How does Rule 605 data relate to the numbers this tool calculates? + SEC Rule 605 requires market centers (exchanges, market makers, and alternative trading systems) to publish monthly execution quality statistics, and amendments the SEC adopted on March 6, 2024 extend the requirement to broker-dealers that introduce or carry 100,000 or more customer accounts and widen the orders covered beyond marketable limit orders and market orders. The key metrics reported are effective spread, quoted spread, price improvement rate, percentage of shares receiving price improvement, and speed of execution. The calculations in this comparator follow the same conceptual formulas used in Rule 605 reports. To benchmark your actual fills, find your broker's routing disclosures (Rule 606 reports) to identify which market centers received your orders, then look up those venues' Rule 605 statistics for the relevant stock and order size tier. Comparing your actual confirmed fills against Rule 605 averages for your venue is a concrete way to evaluate whether your broker's routing serves your interests. - What order sizes do published execution quality statistics actually cover? + Reported figures are grouped into size categories, and the statistics for one category say little about another, since a small marketable order and a large one face different liquidity. Comparing a personal fill against a published average requires locating the matching size band. An average taken across all bands blends categories whose behaviour differs, which is one of the more common misreadings of this data. - How many fills are needed before a personal comparison means anything? + A single fill can land anywhere in the distribution, so comparing one execution against a published average establishes very little. Accumulating fills across many trades in comparable securities and sizes produces something that can be compared as a distribution rather than a point. Recording the quote at submission alongside each fill is what makes that accumulation possible, and it has to be done at the time. - Does this comparison apply to orders that were not marketable when sent? + Published execution quality statistics focus on orders that were executable against the quote at the time of receipt. A resting limit order that filled later, when the market came to it, is a different situation, and its fill relative to the midpoint at submission measures patience rather than execution quality. Applying marketable-order benchmarks to passive fills compares two different things. ## Related Reading - [Price Improvement and Effective Spread Explained](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/price-improvement-and-effective-spread/) - [How Stock Order Routing Works](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/how-stock-order-routing-works/) - [Payment for Order Flow and Routing Conflicts](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/payment-for-order-flow-and-routing-conflicts/) - [Best Execution: What Brokers Owe Customers](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/best-execution-what-brokers-owe-customers/) - [How to Read SEC Rule 606 Routing Disclosures](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/how-to-read-sec-rule-606-routing-disclosures/) - [NBBO and the Order Protection Rule Explained](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/nbbo-and-the-order-protection-rule-explained/) - [How to Calculate the Bid-Ask Spread and Effective Trading Cost](https://www.getswoopr.com/markets/execution/quotes-spreads-and-liquidity/how-to-calculate-the-bid-ask-spread-and-effective-trading-cost/) - [Execution Cost Calculator](https://www.getswoopr.com/tools/execution-cost-calculator/) - [Orders, Routing & Fill Quality](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/) the section this guide belongs to - [Common Order Routing and Fill Quality Mistakes](https://www.getswoopr.com/markets/execution/orders-routing-and-fill-quality/common-order-routing-and-fill-quality-mistakes/) a companion guide in this cluster ## References - [SEC: Regulation NMS](https://www.sec.gov/rules-regulations/2005/06/regulation-nms) - [SEC: Regulation NMS Rule 605/606 FAQs (effective spread and price improvement metrics)](https://www.sec.gov/rules-regulations/staff-guidance/trading-markets-frequently-asked-questions-0) - [FINRA Rule 5310: Best Execution and Interpositioning](https://www.finra.org/rules-guidance/rulebooks/finra-rules/5310)