The Actual Size Rule would not affect a market maker's obligation to display the full size of a customer limit order. Thus, if a market maker is required to display a customer limit order that is for 200 shares, it would be required to display a quote size of at least 200 shares. In expanding the original Pilot Program, the NASD attempted to avoid skewing the results toward larger, more active issues, by selecting a more representative sample of the Nasdaq market. The expanded Pilot Program provided additional data across a broad range of securities, allowing a more accurate evaluation of the rule's effects. Indeed, . . . , the Actual Size Rule appears to be a reasonable means to provide market making obligations that reflect the new market dynamics produced by the Order Execution Rules.
Quoted spread is the difference between the inside bid and offer.
Individual spreads are weighted by their duration, that is, the amount of time each was in effect for the day. Effective spread is twice the absolute difference between the trade price and the bid-ask midpoint, accounting for trades at prices inside the spread. Quoted depth is the size of a market maker quote, or the number of shares at the quote that a market maker is required to transact under the Firm Quote Rule. Aggregated quoted depth is the sum of the quoted depths of all market makers quoting at the prevailing inside market.