The Securities and Exchange Commission adopted Rule 11Ac1-5 (now known as Rule 605 of Regulation NMS) to improve public disclosure of order execution practices. Under Rule 605, market centers that trade national market system securities are required to make available to the public monthly electronic reports that include uniform statistical measures of execution quality.
The SEC’s final adopting release, along with the text of Rule 605, can be found at http://www.sec.gov/rules/final/34-43590.htm. The SEC’s Frequently Asked Questions about Rule 605 can be found at http://www.sec.gov/interps/legal/slbim12a.htm.
Please click the links below to access Citadel Securities LLC (“Citadel”) monthly Rule 605 reports.
Please click the below links for Citadel’s Rule 11Ac1-5 statistics (CDRG).
April 2018 – TCDRG201804
March 2018 – TCDRG201803
February 2018 – TCDRG201802
Q1 2018 – FIF-Rule-605-606-Q1_2018
Q4 2017 – FIF-Rule-605-606-Q4_2017
Q3 2017 – FIF-Rule-605-606-Q3_2017
Q2 2017 – FIF-Rule-605-606-Q2_2017
While Citadel has used reasonable efforts to prepare these reports in compliance Rule 605, these statistics have not been audited and may contain errors. Accordingly, any decision about whether to send orders to Citadel should not be based solely on these statistics.