The share-weighted average of realized spreads for order executions, depending on a market’s side. For buy orders, it is equal to double the amount of difference between the execution price and the midpoint of the consolidated best bid and offer a specific time (e.g., five minutes) after the execution time. For sell orders, it is equal to double the amount of difference between the midpoint of the consolidated best bid and offer a specific time (e.g., five minutes) after the execution time and the execution price.

The calculation of a realized spread in either case is subject to the use of the midpoint of the final consolidated best bid and offer published for standard trading hours in less than the specified time (five minutes) after the execution time.