Stale Midpoint Trades Rare in US Markets

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A new study examines how often trades are reported to the Securities Information Processor (SIP) at prices that appear to be 'trade-throughs' of the National Best Bid and Offer (NBBO). The analysis finds that while around 19.4% of all off-exchange trades occur at the midpoint, only 0.5% of those are at 'stale' midpoints where the NBBO has already changed. Furthermore, almost none of those 'stale' midpoint trades are reported outside the NBBO, indicating the issue is quite rare in the US markets.

Why it matters

The findings are relevant as the SEC is currently reviewing the Order Protection Rule (OPR), which requires trades to be executed at the NBBO or better. The low incidence of 'stale' midpoint trades suggests the current market structure is working as intended, with only a small fraction of trades occurring at prices that would violate the OPR.

The details

The study analyzed trade data and found that while midpoint trades make up around 19.4% of all off-exchange volume, only 0.5% of those occur at 'stale' midpoints where the NBBO has already changed. Furthermore, an even smaller fraction of those 'stale' midpoint trades, almost none, are actually reported outside the NBBO. The analysis also looked at the timing of these 'stale' trades, finding that nearly all arrive at the SIP within 2,500 microseconds (2.5 milliseconds) after the NBBO change, suggesting the delays are due to the physics of routing orders rather than latency arbitrage.

• The study analyzed trade data from February 2026.