The regulator's measurement is the effective spread, and the doubling is the whole idea. Under 17 CFR 242.600(b)(8), the "average effective spread" is the share-weighted average of effective spreads for order executions, "calculated, for buy orders, as double the amount of difference between the execution price and the midpoint of the national best bid and national best offer at the time of order receipt", with the mirror-image calculation for sell orders. Why double it? Because the midpoint is the theoretical fair price at that instant, the distance from the midpoint to the execution is half a round trip, and doubling it puts the result on the same scale as a quoted spread. So an effective spread can be compared directly against the quoted spread, which the same rule defines at (b)(12) as the share-weighted difference between the national best offer and the national best bid at the time the order was received. The ratio of the two is the number that tells you whether an execution beat the visible market or merely met it.
A third measure exists and it answers a different question. The average realized spread, at (b)(13), performs the same doubling but measures from the execution price to the midpoint at a specified interval after the trade rather than at the moment of receipt. That interval matters, because it separates what the customer paid from what the firm on the other side kept: if the price moves against that firm in the seconds after the fill, the realized spread is smaller than the effective spread. Rule 605 requires the realized spread at five intervals, from 50 milliseconds out to five minutes, which is the rule's way of admitting that the answer depends on the window.
Rule 605 requires two reports, and they are not interchangeable. Under 17 CFR 242.605(a)(1), every market center, broker or dealer must make available, for each calendar month, a report on the covered orders in NMS stocks it received, and that report "shall be categorized by security, order type, and order size". It is long: dozens of columns per category, covering order and share counts, cancellations, where the shares were executed, eight buckets of execution speed from under 100 microseconds to five minutes and over, the realized spread at its five intervals, and, for market and marketable limit orders, the quoted and effective spreads, the ratio between them, and share counts executed with price improvement, at the quote, and outside the quote. Separately, under (a)(2), the same firms must publish a shorter summary that reports the S&P 500 apart from every other listed stock. The rule's own words are that they must "make publicly available for each calendar month a report providing summary statistics on all covered orders that are market and marketable limit orders", delivered "as an electronic file using the most recent version of the schema for comma separated values format (CSV) and the associated PDF renderer". That summary carries "a section for NMS stocks that are included in the S&P 500 Index as of the first day of that month and a section for other NMS stocks", and each section is categorized by order type and by notional order size in bands the rule fixes, running from less than $250 up to $200,000 or more. Anyone writing about "the Rule 605 report" is describing one of two documents with different contents.
Who has to publish, and for how long. Both reports must stay posted on a free, publicly accessible website for three years from the date of posting, and must be available within one month after the end of the month they cover. A broker or dealer that is not itself a market center is outside the rule "unless that broker or dealer introduces or carries 100,000 or more customer accounts" through which NMS stock transactions are effected. A firm that crosses that threshold and is also a market center must produce separate reports for each function, and an alternative trading system must "prepare reports separately from their broker-dealer operators". So the retail brokers most readers use are inside the rule, and the small introducing firms are not.
What the reports leave out is as important as what they contain. The reports cover "covered orders", and 17 CFR 242.600(b)(27) draws that definition tightly in two ways. First, timing: every limb requires the order, if executed, to be executed during regular trading hours, so an execution in an extended session appears nowhere. Second, handling: the definition excludes "any order for which the customer requests special handling for execution", and lists examples including orders to be executed at a market opening or closing price, orders to be executed only at their full size, orders submitted on a "not held" basis, and orders for other than regular settlement. An investor whose habits run to opening auctions, all-or-none conditions or extended sessions is trading in a part of the market the statistics do not describe.
The conditions that widen the gap are the ordinary ones. Thin resting size means a larger order reaches prices further from the best quote. Higher volatility means the market moves further between the instant the order is sent and the instant it is matched. Order size relative to the size displayed at the best price is the single most direct driver, because an order larger than the displayed size must by construction trade partly at worse prices. And the same order placed outside regular trading hours meets all three conditions at once, which is why the extended sessions produce the widest gaps and, by the covered-order definition, the least published evidence about them.
