A ceiling filed before the trade, not a print after it An EDGAR alert lands at 4:41 p.m. Eastern: Form 144, an officer you recognize, 250,000 shares. Nothing in that filing said a share had changed hands. A Form 144 is a notice of proposed sale. It states a ceiling the seller has calculated and a sale the seller intends, not an execution. That gap is the same one that makes corporate filings easy to misread on a screen showing only prices. A 13F is a position list as of a quarter-end date that has already passed, which is the point of Read a 13F as a Quarter-End Snapshot, Not a Current Position List . A buyback press release announces an authorization, not a purchase. A Form 144 announces a permitted quantity, not a filled order. What makes Rule 144 worth an afternoon is that the permitted quantity is not discretionary. It is an arithmetic result produced by two numbers that are public before the filing exists: the issuer's share count and four calendar weeks of consolidated ...
Displayed Depth Is a Sample, Not a Census, When Half of Volume Prints Off-Exchange
The share count next to the best bid is not a measure of how many shares want to trade at that price. It is a measure of how many shares a venue is required to display and other venues are required to respect at that price. Those are two different quantities, and the distance between them is set by rule rather than by conviction.
In U.S. equities, the rule that creates the displayed number is narrow, and the volume that never passes through it is now larger than the volume that does. A depth ladder is a sample of the market's willingness to trade. It is not a census. Reading it as a census produces a specific and repeatable class of error: sizing a position against liquidity that was never promised, then discovering at exit that the promise had a much smaller face value than the screen implied.
What a protected quotation covers
Regulation NMS defines a protected bid or protected offer in Rule 600(b)(81) as a quotation in an NMS stock that is displayed by an automated trading center, is disseminated under an effective national market system plan, and is the best bid or best offer of a national securities exchange or of a national securities association. A protected quotation, under Rule 600(b)(82), is simply a protected bid or a protected offer.
Read the middle clause slowly. Protection attaches to one price level per venue: that venue's own top of book. The size a venue displays one tick behind its best price is visible in the market data feed and is legally ordinary. It carries no trade-through protection at all.
Rule 600(b)(6) adds a second filter. An automated quotation is one displayed by a trading center that permits an incoming order to be marked immediate-or-cancel, executes such an order immediately and automatically against the displayed quotation up to its full size, immediately cancels any unexecuted remainder without routing it elsewhere, immediately responds to the sender, and immediately updates the displayed quotation to reflect any change in its material terms. A quotation that fails those conditions is not automated, and therefore is not protected, however large it looks.
The illustration below takes a hypothetical NMS stock quoted on three exchanges and separates the two counts. Across three price levels the ladder displays 4,300 shares on the offer side. Of those, 1,200 are protected: 200 at the national best offer on one exchange, and the top-of-book offers of 700 and 300 on the other two, which sit a penny behind it. Everything else is displayed and unprotected.
Rule 611 obliges venues to have procedures, not to guarantee fills
Rule 611(a) requires a trading center to establish, maintain and enforce written policies and procedures reasonably designed to prevent trade-throughs of protected quotations in NMS stocks. That is an obligation about process at the venue level. It is not a promise to any individual order.
Rule 611(b) then lists the circumstances in which a trade-through is permitted. Among them: the displaying venue was experiencing a system failure, material delay or malfunction; the transaction was a single-priced opening, reopening or closing; the market was crossed, with a protected bid above a protected offer; the order was marked as an intermarket sweep order; the executing venue simultaneously routed intermarket sweep orders to execute against the full displayed size of the quotations being traded through; the execution price was not based on the quoted price and the material terms were not reasonably determinable at the time of commitment; the displaying venue had itself displayed a best bid or offer equal to or worse than the trade-through price within one second beforehand; or the execution filled a customer stopped order at a guaranteed price that improved on the national best bid or offer.
Three of those exceptions matter to anyone reading depth. The intermarket sweep exceptions exist precisely so that a large order can clear multiple price levels at once. The flickering-quotation exception means a quote that existed one second ago can be traded through today. The benchmark exception carves out an entire class of trades whose price is set by a formula rather than by the book.
The other half of the volume never passes through a quote
An order in an NMS stock can end in four structurally different places, and only the first involves a protected quotation.
Executions in the third and fourth boxes are off-exchange. They are reported to a FINRA Trade Reporting Facility rather than printed by an exchange. FINRA Rule 6380A(a)(1) requires participants to report last sale information as soon as practicable but no later than 10 seconds after execution; anything slower is marked late. Effective March 30, 2026, the facilities open at 4:00 a.m. Eastern rather than 8:00 a.m., and trades executed outside the 4:00 a.m. to 8:00 p.m. window must be reported by 4:15 a.m. on the next business day the system opens.
The consequence for chart reading is blunt. The tape carries the print. It does not carry a real-time label saying whether the shares came from a displayed exchange quote, a hidden exchange order, an alternative trading system, or a broker-dealer filling against its own book. Volume bars aggregate all four. Depth ladders show only a slice of the first.
The structural context, as described by the SEC in its June 11, 2026 proposing release, is 17 exchanges currently operating in NMS stocks with three more approved but not yet trading. Displayed liquidity is spread across all of them, and the protected portion of it is one price level per venue.
How far the off-exchange share has moved
Source: U.S. Securities and Exchange Commission, Release No. 34-105655 (June 11, 2026), "The Trade-Through Rule and Locked and Crossed Markets Provisions of Regulation NMS", File No. S7-2026-20, at 13 and n.40. The 2005 and 2014 figures are drawn there from the 2015 Equity Market Structure Advisory Committee memorandum; the January 2026 figures from a 2026 staff data update to that memorandum.
Between February 2005 and January 2026 the share of volume executed away from exchanges rose from 29.4% to 51.9% in Nasdaq-listed stocks and from 13.0% to 47% in NYSE-listed stocks. For one of the two listing groups, the majority of trading no longer happens on a venue that publishes a protected quotation.
Hidden size sits inside the exchanges as well
Treating "on exchange" as a synonym for "displayed" is the second error, and the same release quantifies it. In the first quarter of 2015, the median proportion of equity exchange volume executed against non-displayed orders was 16.0%. In the second quarter of 2025 it was 30.7%.
The dispersion moved further than the median. In the first quarter of 2015 the exchange with the smallest share of volume executed against hidden orders was at 3.7% and the largest at 28.4%. By the second quarter of 2025 the smallest was 13.7% and the largest 54.6%. On at least one venue, more than half of what traded had never been quoted.
Stack the two effects and the arithmetic on a depth ladder gets unforgiving. A substantial share of consolidated volume prints off-exchange with no quote behind it. Of the remainder that prints on an exchange, a median of roughly three shares in ten executed against orders that were never displayed. What is left is displayed size, and only the top of book at each venue is protected.
What can be verified without a market data subscription
Three public disclosure regimes let a trader check the shape of this for a specific security or a specific broker, at no cost and with a known lag.
FINRA OTC Transparency. FINRA publishes weekly, per-security volume for each alternative trading system and for non-ATS off-exchange activity, with total shares and total trade counts. The delay is defined by tier: NMS Tier 1 securities, which are those in the S&P 500, the Russell 1000 and selected exchange-traded products, are published on a two-week delayed basis; NMS Tier 2 securities and OTC equities on a four-week delayed basis. The data is reachable through api.finra.org/data/group/otcMarket/name/weeklySummary, and the accompanying download index carries the publication dates. At the time of writing, the most recent entries in that index were for the week beginning June 29, 2026, last updated July 20, 2026.
The derived number worth keeping is average trade size: total weekly shares divided by total weekly trade count, per venue, per security. It separates venues that cross size from venues that cross fragments, and it moves before headline volume does.
Rule 606. Under Rule 606(a)(1), a broker-dealer must publish a quarterly report on routing of non-directed customer orders in NMS stocks and listed options, make it available within one month after quarter end, and keep it public for three years. The report identifies the top ten venues by order flow plus any venue that received 5% or more, and discloses payment for order flow, rebates and fees for each venue by order type. Under Rule 606(b)(3), a qualifying customer can request monthly detail covering the prior six months, and the broker-dealer must respond within seven business days.
Rule 605. The 2024 amendments to Rules 600 and 605, published at 89 FR 26428 on April 15, 2024, had their compliance date extended from December 14, 2025 to August 1, 2026 by Release No. 34-104147 (September 30, 2025). They extend order execution reporting to broker-dealers that introduce or carry 100,000 or more customer accounts and pull odd-lot and fractional share orders into scope. Reports covering periods after that date are the first that describe execution quality for the order sizes retail accounts most often send.
The rules defining all of this are being rewritten
Two live rulemakings change the frame, and both were acted on the same day.
On June 11, 2026 the Commission proposed rescinding Rule 611 and Rule 610(e) outright, along with related defined terms, in Release No. 34-105655, File No. S7-2026-20, with a comment period of 60 days from Federal Register publication. Rule 610(e) is the provision restricting locked and crossed quotations. The stated rationale is cost and complexity, and fragmentation since 2005.
Separately, the September 2024 amendments to Rule 612 established a $0.005 minimum pricing increment for quotations and orders priced at or above $1.00 in NMS stocks whose time weighted average quoted spread during the evaluation period was $0.015 or less, with $0.01 retained above that threshold, and reduced the Rule 610(c) access fee cap to $0.001 per share for protected quotations. Compliance was first deferred to the first business day of November 2026 and, on June 11, 2026, deferred again to the first business day of November 2027.
Neither outcome is settled, and neither should be traded as though it were. What can be said conditionally is narrow: if Rule 611 is rescinded, the phrase "protected quotation" stops organizing the routing decision, and the displayed top of book loses the one regulatory privilege that distinguishes it from every other resting order. Whether displayed depth grows or shrinks under that regime is not deducible from the rule text.
What Would Invalidate This
The instrument is not an NMS stock. Regulation NMS governs NMS stocks. A listed future concentrates its book on a single venue, so displayed depth there is far closer to a complete count and this framing adds little.
The order is small relative to the quote. If a typical order size sits well inside the displayed size at the touch, the gap between displayed and protected rarely binds, and the effort of checking routing disclosures is not repaid.
The decision horizon is short. FINRA's two-week and four-week publication delays make that data unusable for anything intraday. It describes structure, not conditions.
Share counts are not intent. ATS weekly volume reports shares and trades. It does not report direction, urgency, or whether the flow was hedging another position. Treating a rise in off-exchange share as directional information is unsupported.
The point-in-time figures are not a continuous series. The January 2026 percentages come from a single staff data update cited in a proposing release, not from a monthly published series. A different month or a different methodology can move them.
Rescission would date the specifics. If Rule 611 is withdrawn, the sections above about protected quotations describe a market that no longer exists. The underlying asymmetry, that displayed size understates available size, would need to be re-established from whatever disclosure regime replaces it.
Concrete Framework
Write down the two numbers separately before sizing. Displayed size at the touch across all venues, and the portion of it that is any venue's own best bid or offer. Only the second has trade-through protection behind it.
Assume the displayed number is a lower bound on interest and an upper bound on certainty. More shares may be available than are shown; fewer shares are guaranteed than are shown. Both directions of that error have to be carried at once.
Pull the FINRA OTC Transparency record for the security once, at position sizing time. Note total weekly ATS shares, total non-ATS off-exchange shares, and average trade size for each. Record the week the data covers, not the week it was published.
Classify the security by tier before relying on the timing. Tier 1 arrives two weeks late; Tier 2 and OTC equities four weeks late. A four-week-old picture is a structural input, not a trade trigger.
Read the executing broker's most recent Rule 606(a)(1) quarterly report. Identify the venues receiving 5% or more of order flow and note whether payment for order flow varies by order type. That is where a routing decision becomes a cost.
For any order large enough to matter, request the Rule 606(b)(3) detail. Six months of monthly routing and execution statistics, due within seven business days.
Check Rule 605 reports for periods on or after August 1, 2026 for odd-lot and fractional categories. Earlier reports do not contain them, so a comparison across the boundary is not like-for-like.
Set exits on the assumption the flickering-quotation and intermarket sweep exceptions apply. A stop resting behind three visible price levels is resting behind roughly one level of protected size and two levels of displayed intent.
Re-check the two rulemakings before treating any of the above as fixed. The Rule 611 and 610(e) rescission proposal is open for comment; Rule 612 and Rule 610(c) compliance now sits at the first business day of November 2027. Both dates are in the public record and both can move again.
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