Why Odd Lots Don't Set the NBBO

Odd lots do not set the NBBO. The national best bid and offer, the quote on your broker's screen, is computed from round lot quotes only, and a displayed order for fewer shares than a round lot never enters that calculation. A fill that beats the quoted spread is usually that rule at work rather than a data error.

Why did my order fill better than the NBBO?

Take a hypothetical. A stock is quoted $20.10 bid and $20.12 offered, and your order to sell 40 shares fills at $20.11. Nothing on the screen ever showed $20.11. A 40 share bid at $20.11 can rest on an exchange book all session without appearing in the consolidated best bid. The NBBO calculation ranks round lot quotes and passes over everything smaller. The odd lot is real and executable. It is only ineligible for the top of the consolidated quote.

Whether you ever saw it is a separate question about your data feed: Level 1 and Level 2 market data carry very different amounts of book detail, and the SIP and the direct exchange feeds have never contained the same information.

What is a round lot under Rule 600(b)(43)?

A round lot meant 100 shares of any stock for most of the last century. The SEC's Market Data Infrastructure rules replaced the flat number with four tiers keyed to share price.

Round lot means: (i) With respect to NMS stocks priced $250.00 or less per share, 100 shares; (ii) With respect to NMS stocks priced $250.01 to $1,000.00 per share, 40 shares; (iii) With respect to NMS stocks priced $1,000.01 to $10,000.00 per share, 10 shares; and (iv) With respect to NMS stocks priced $10,000.01 or more per share, 1 share.
Rule 600(b)(43) of Regulation NMS, 17 CFR 242.600(b)(43), as amended by the Market Data Infrastructure rules, SEC Release No. 34-90610, adopted 9 December 2020.

A stock's tier follows its average closing price over the prior calendar month, and it resets monthly. One idea runs through all four tiers: the higher the price per share, the fewer shares it takes for a quote to count.

SELECT
    multiIf(tier = 1, 'Up to $250.00',
            tier = 2, '$250.01 to $1,000.00',
            tier = 3, '$1,000.01 to $10,000.00',
                      'Above $10,000.00')                    AS bucket,
    multiIf(tier = 1, 100, tier = 2, 40, tier = 3, 10, 1)    AS round_lot_size,
    count()                                                  AS listed_stocks
FROM
(
    SELECT
        ticker,
        multiIf(any(close) <= 250,   1,
                any(close) <= 1000,  2,
                any(close) <= 10000, 3,
                                     4) AS tier
    FROM global_markets.stocks_daily_aggs
    WHERE date = (SELECT max(date) FROM global_markets.stocks_daily_aggs WHERE date >= today() - 10)
      AND close > 0
    GROUP BY ticker
)
GROUP BY tier
ORDER BY tier

On the most recent pricing day in the tape, 8781 listed names closed at $250.00 or less, where a round lot is still the familiar 100 shares. Another 285 closed in the $250.01 to $1,000.00 band, where 40 shares is a full round lot and a 30 share bid is an odd lot.

Familiar names land in different tiers on the same day.

SELECT
    ticker,
    round(toFloat64(any(close)), 2) AS close_price,
    multiIf(any(close) <= 250,   100,
            any(close) <= 1000,  40,
            any(close) <= 10000, 10,
                                 1)  AS round_lot_size
FROM global_markets.stocks_daily_aggs
WHERE date = (SELECT max(date) FROM global_markets.stocks_daily_aggs WHERE date >= today() - 10)
  AND ticker IN ('F', 'KO', 'NVDA', 'AAPL', 'MSFT', 'SPY', 'COST', 'BKNG', 'NVR')
GROUP BY ticker
ORDER BY close_price DESC

The most expensive name in the panel, NVR, closed at $6314.33, which sets its round lot at 10 shares. The cheapest, F at $13.89, needs 100 shares. A 10 share bid is a full round lot in the first name and an odd lot in the second, and only one of those two bids is eligible to set a national best bid.

Can a stock's round lot change?

It can, with no corporate action involved. The tier is keyed to price, and prices move. A stock whose prior month average close crosses $250.00 moves from a 100 share round lot to a 40 share round lot for the following month, and the size of quote that can set its NBBO moves with it.

SELECT
    formatDateTime(m, '%Y-%m') AS month,
    countIf(avg_close > 250)   AS stocks_above_250
FROM
(
    SELECT
        toStartOfMonth(date)  AS m,
        ticker,
        avg(toFloat64(close)) AS avg_close
    FROM global_markets.stocks_daily_aggs
    WHERE date >= toStartOfMonth(today() - 730)
      AND date <  toStartOfMonth(today())
      AND close > 0
    GROUP BY m, ticker
)
GROUP BY m
ORDER BY m

The most recent full month in the panel holds 305 names averaging above $250.00, against 304 in the first month shown. Names cross that line in both directions, which makes the round lot a property of a stock in a given month rather than a fixed fact about it.

What changed on 27 April 2026?

For decades the consolidated tape carried no odd lot quotes at all. Since 27 April 2026, the SIP disseminates the best odd lot bid and the best odd lot offer next to the NBBO. Two features of that feed matter more than its arrival.

First, the odd lot BBO is published as ancillary information. It sits beside the NBBO as context and forms no part of it. The NBBO is still calculated exactly as before, from round lot quotes.

Second, an odd lot quote is not a protected quotation under Regulation NMS. Rule 611, the order protection rule, bars a trading center from executing at a price inferior to a protected quote, and protected quotes are the automated best bid and best offer each exchange displays in round lot size. An odd lot priced inside the NBBO carries no such shield. It can be traded through with no violation, and Rule 611 places no obligation on a broker to reach it. The same round lot filter runs through Rule 610(d), which is why the restrictions on locked and crossed markets are written around protected quotations too.

The practical shape of this is a market inside the market: a visible, executable price better than the official best bid or offer, with no trade through rule compelling anyone to trade there. Best execution duties sit in a separate body of rules.

The 2026 change publishes one odd lot price on each side. Depth beyond that best odd lot bid and offer, the rest of the odd lot book, is deferred to May 2028.

Why an odd lot inside the NBBO is not price improvement

Price improvement is measured against the NBBO: an execution better than the published bid or offer at the moment of the trade, most often from a wholesaler or a midpoint order, and frequently in fractions of a cent. The sub penny rule and price improvement covers how those fractional prices are allowed to exist.

An odd lot inside the NBBO is a different object: a displayed quote at a better price that the protection rules do not cover. A fill that beats the NBBO might have taken such an odd lot, or it might have come from a dark midpoint that displayed nothing at all. The printed price by itself does not say which.

Odd lots on the consolidated tape

Odd lot executions have printed on the consolidated tape since 2013, through all the years when odd lot quotes stayed off it. They are no rounding error in the modern tape.

SELECT
    bucket,
    round(100 * prints / sum(prints) OVER (), 2) AS print_share_pct,
    round(100 * shares / sum(shares) OVER (), 2) AS volume_share_pct
FROM
(
    SELECT
        multiIf(size < 100,  'Under 100 shares',
                size = 100,  'Exactly 100 shares',
                size < 1000, '101 to 999 shares',
                             '1,000 or more') AS bucket,
        multiIf(size < 100, 1, size = 100, 2, size < 1000, 3, 4) AS ord,
        count()   AS prints,
        sum(size) AS shares
    FROM global_markets.stocks_trades
    WHERE ticker = 'AAPL'
      AND sip_timestamp >= '2026-04-27 00:00:00'
      AND sip_timestamp <  '2026-04-28 00:00:00'
      AND size > 0
    GROUP BY bucket, ord
)
ORDER BY ord

On 27 April 2026, the first session with the odd lot BBO on the SIP, prints of fewer than 100 shares in AAPL made up 79.64% of all prints and 14.5% of the shares that changed hands. The gap between those two percentages is the shape of odd lot activity: a great many small executions, a modest slice of the volume. Every one of them met liquidity that the round lot NBBO, by construction, was never describing.

FAQ

Do odd lots count in the NBBO?

No. The NBBO is computed from round lot quotes only, so a displayed order smaller than a round lot cannot become the national best bid or offer. Since 27 April 2026 the best odd lot bid and offer are published separately, as ancillary information beside the NBBO.

What is a round lot in 2026?

It depends on the share price. Under Rule 600(b)(43), a round lot is 100 shares at $250.00 or less, 40 shares from $250.01 to $1,000.00, 10 shares from $1,000.01 to $10,000.00, and 1 share above $10,000.00. The tier follows the prior calendar month's average closing price.

Are odd lot quotes protected under Reg NMS?

No. Odd lot quotes are not protected quotations, and the Rule 611 order protection rule does not stop anyone from trading through them. The odd lot BBO on the SIP is disseminated as ancillary information.

Why did my order fill at a better price than the quoted bid or offer?

That outcome has two common sources: an odd lot resting inside the NBBO, or a midpoint or wholesaler execution priced between the bid and the offer. The tape shows the price and does not label which one you got.

When does the full odd lot book reach the SIP?

The 27 April 2026 change carries the best odd lot bid and offer only. Dissemination of depth beyond that top odd lot price is scheduled for May 2028.

Every panel on this page ships with the SQL that produced it. To check which round lot tier a stock sits in today, or count the odd lot prints in a past session yourself, ask the question in plain English on the Strasmore terminal.