Payment For Order Flow 2020, Part III: The Retail Flow Factor

In this 17-page, 21-exhibit presentation - Part III of Alphacution's case study on payment for order flow (PFOF) - we present our preliminary development of the "retail flow factor" for 2020 based largely on a reconciliation of 606 data (from 10 retail brokers / 11 entities) and 605 data (from 7 wholesale market makers). The results include estimated monthly penetration of retail order flow relative to the full U.S. cash equities market for 2020 - including estimated breakdowns of odd lots and round lots - as well as some hints on where we will need to look next to further refine this factor in preparation for extending this analysis throughout 2021 and beyond...