Source: 01/04/2021 NMS Tier 1 Weekly Report of FINRA OTC Transparency Data available at https://otctransparency.finra.org/otctransparency/AtsData
FINRA reports aggregate volumes, which includes ASPEN and Midpoint volumes.
“Intelligent Midpoint Market impact” is a weighted average of mid-to-mid movement in the NBBO 20 milliseconds after each trade between X and Y (the “measurement period”). The weighted average is created by notionally weighting the value of each trade. The Intelligent Midpoint market impact is weighted by notional traded on Midpoint during the measurement period. An exchange average market impact is calculated based on NBBO midpoint trades reported on the Securities Information Processor (SIP) during the measurement period and weighted by the daily per symbol notional traded on Intelligent Midpoint such that the weight of each symbol traded on the exchanges will equal the weight traded on Intelligent Midpoint. The relative % improvement of Intelligent Midpoint market impact versus the exchange average market impact is computed as (1- (Intelligent Midpoint market impact / exchange average market impact)).
Measured as the absolute mid-to-mid price movement, 20 milliseconds after trades between X and Y, for all trades on ASPEN that happen at the NBBO versus all Securities Information Processor (SIP) trades on the bid or offer on the exchanges reported on the SIP weighted by the daily per symbol notional traded on ASPEN such that the weight of each symbol traded on the exchanges will equal the weight traded on ASPEN.
As determined at time of arrival of order from subscriber between X and Y, versus the National Best Bid Offer (NBBO) reported on the SIP.
Computed, based on data between X and Y, as the average of (ASPEN display bid price - the NBBO bid price) / (NBBO spread) and (the NBBO offer price - ASPEN display offer price) / (NBBO spread) for orders where the ASPEN display bid price is better than the NBBO bid price or ASPEN displayed offer price is better than the NBBO offer price, respectively.
Between X and Y.
The ASPEN displayed orders that are better than the NBBO by at least one tick as determined at time of arrival of order from subscriber between X and Y.