SEC Rule 605: BMLL’s SIP Trades Plus and 16 harmonised US data feeds solve new reporting requirements

605 2.0 is much more descriptive and also targets large broker dealers

More filers - On top of market centers, broker-dealers introducing or carrying 100,000 or more customer accounts, single-dealer platforms, and ATSs reporting separately from their broker-dealer operator all must file under the new rule 605.

More orders - Odd lots and fractional shares, previously outside the size categories entirely. Also stop orders, non-marketable limits that become executable, and non-exempt short sales. Sizes bucketed by notional value rather than share count.

Finer measurement - Average time to execution in increments of a millisecond or finer; shares executed with price improvement, at or outside the quote in much finer time buckets with the fastest time bucket under 100 microseconds; realised spread at five horizons, from 50 milliseconds to 5 minutes after execution.

More detailed execution quality metrics - A variety of new calculations are demanded from filers regarding size improvement, price improvements, realised and effective spreads. In particular, the additional size improvement rule requires filers to compare execution size to the aggregate size at NBBO. Because the SIP only reports the largest size at NBBO, filers are required to source/calculate the aggregate size. BMLL has provisioned a “605 aggregate size file” designed for this new requirement.

Those 85 larger broker-dealers together manage over 98% of US customer accounts, and most have never produced an execution-quality report. The SEC’s burden estimate for a first-time filer is double that for an existing one, and the rule explicitly contemplates transferring the data to a service provider rather than building in-house.

Precise analytics ready data

The amended Rule 605 significantly increases the market data required to measure execution quality. Effective spread, quoted spread and price improvement are benchmarked against the NBBO at the relevant order-receipt time. From November 2026, additional price-improvement statistics must also account for the Best Odd-Lot Order through the new Best Available Displayed Price benchmark. Realized spread must now be measured against where the NBBO midpoint moves at five post-trade horizons: 50 milliseconds, 1 second, 15 seconds, 1 minute and 5 minutes.

BMLL Trades Plus is a powerful, enriched historical dataset that brings trades, quotes and execution analytics together in one place. Built using BMLL's granular Level 3 data, it removes much of the engineering required to reconstruct market state and analyse executions.

Trades Plus already contains pre- and post-trade midpoints at 15 intervals from 1ms through 5 minutes. It is also populated with the consolidated size at NBBO that filers must compare to when disclosing size improvements. BMLL has already done the computationally expensive trade/quote alignment needed for many of the new execution-quality calculations. 

Larger broker-dealers >100k accounts are new filers 

Large broker dealers did not previously have to report NBBO-relative execution metrics. They route orders rather than execute them, yet must now report on every covered order they receive. These new filers need granular market data to align each order against the NBBO at the instant of receipt, data many do not currently hold. SoFi’s 2025 10-K plainly stated: “Errors or unfavorable public metrics could harm our reputation and result in enforcement risk” and that “granular data” is required.

Further to this, it will now be possible to analyse in detail both execution quality metrics by these brokers, the execution quality reported by wholesalers (see below) and related payment for order flows potentially changing routing habits and algo/ sor selections. It is probable this new transparency will have routing impacts.

OTC market makers and single-dealer platforms: new separate reporting

Wholesalers, ATSs already file as market centers, but SDP activity must now be reported separately from other OTC market making, and the SDP boundary is undefined in the rule. Published price-improvement statistics are the new competitive landscape for order flow; a weak figure must be decomposed into routing, timing or flow mix. Routing and quoting logic can be tested against historical book conditions before the numbers become public.

Exchanges and ATSs: existing filers facing a new build

Venue-level execution quality becomes directly comparable; peer benchmarking becomes a permanent, monthly exercise. New competitive landscape in the direct comparison of benchmarked order execution figures.

The buy-side: not filers, but users

Published reports are aggregates across a broker’s entire flow, so broker claims can now be audited against order book conditions around their own orders. The same order-by-order data would feed impact models, execution strategy and scheduling as well as routing choices. 

SEC:  Frequently Asked Questions: Rule 605 of Regulation NMS (April 1, 2026)

BMLL Trades Plus is a powerful, enriched historical dataset that joins Trades and Quotes and retains venues’ trading flags. By going beyond raw trade records, it instantly delivers deep execution insights. By combining granular trade data with BMLL’s level 3 insights and quote based analytics, Trades Plus saves coding effort and computation time with data you can use immediately.  Easily prepare your disclosures, or analyse disclosures from others, using the BMLL Trades Plus data set, accessible via the BMLL Data Lab and  BMLL Data Feed 

Sources: SEC Release 34-99679 (adopting release, 6 March 2024, 89 FR 26428); Release 34-104147 (compliance-date extension, 30 September 2025, 90 FR 47552); Release 34-105136 (exemptive order, 1 April 2026); 17 CFR § 242.605.