Average Realized Spread is a current Regulation NMS defined term. This guide preserves its share weighting, buy/sell direction, post-execution timing, and final-trading-hours midpoint provision.
ReviewedEvidence1 sourceSectionPhrases & Idioms
Quick answer
Under Regulation NMS, average realized spread is a share-weighted execution metric calculated against the national-best-bid-and-offer midpoint at a specified interval after execution.
Key details
Canonical FormAverage Realized Spread
Core MeaningThe share-weighted average of realized spreads for order executions, with buy/sell direction and the rule-specified post-execution midpoint treatment.
Further guidance
History Boundary
This page reflects the current reviewed 17 CFR § 242.600 definition and should be rechecked if Regulation NMS changes.
Meaning
17 CFR § 242.600 defines average realized spread using share weighting, execution direction, and a specified interval after execution.
Usage Boundary
Do not reduce this defined metric to an ordinary execution-price spread; its calculation uses the rule-specified later midpoint and trading-hours fallback.
Sources and evidence
Sources are shown with the role they play in this guide. Historical or style-sensitive claims are kept within the evidence boundary described above.
Average Percentage Realized Spread is a current Regulation NMS defined metric; the page keeps its rule-defined denominator and does not substitute a generic percentage-spread meaning.
Average Effective Spread is a current Regulation NMS defined term. This guide preserves the specific U.S. securities-rule scope instead of substituting an ordinary-language meaning.
Average Percentage Effective Spread is a current Regulation NMS defined metric and should be read with the rule-defined average effective spread and average midpoint components.
Average Quoted Spread is a current Regulation NMS defined term. This guide preserves share weighting and the special executable-time rule for midpoint-or-better limit-order executions.
Realized spread is an execution-quality measure that compares the trade price with a quote midpoint observed after the trade, using the interval specified by the governing methodology. It is not interchangeable with quoted or effective spread; the post-trade horizon is definition-specific and must be stated when precision matters.
Average Midpoint is a current Regulation NMS defined term. This guide preserves the share weighting and timing rules instead of reducing it to an ordinary arithmetic midpoint.
A bid-ask spread is the gap between quoted buying and selling prices and is one market-liquidity measure; wider spreads generally imply greater trading cost or compensation for liquidity provision. Treat the spread as one dimension of liquidity, not as a complete measure of market liquidity, depth, or price impact.
A “credit spread” compares the yield on credit-risky debt with a benchmark yield of comparable maturity. Federal Reserve discussion notes that corporate-bond spreads compensate for default and liquidity risks rather than representing a pure default probability.
