Odd Lot Information
Odd lot information refers to data on equity orders and transactions involving fewer than 100 shares — the threshold below which an order is classified as an odd lot under traditional U.S. exchange conventions — which was historically excluded from the national best bid and offer calculation but has grown in significance as retail participation has increased and share prices have risen.
Under longstanding U.S. equity market conventions, a round lot consists of 100 shares, a mixed lot contains between 1 and 99 shares alongside a round lot quantity, and an odd lot is any order for fewer than 100 shares. The national best bid and offer (NBBO) — the consolidated quotation disseminated through the Securities Information Processor — has traditionally been calculated using only round lot quotes, meaning that displayed interest in odd lot quantities was excluded from the official best price.
The historical rationale for this distinction was practical: when exchange trading was conducted by floor specialists and block trades dominated institutional activity, odd lot orders from retail investors were a minor nuisance handled by separate odd lot dealers at slightly inferior prices. Including them in the official NBBO added complexity without meaningfully affecting institutional execution.
However, two structural developments have made odd lot data increasingly significant. First, rising stock prices have placed many well-known equities at prices where 100 shares represents tens of thousands of dollars, making round lot trading impractical for many retail investors. A retail investor purchasing five shares of a stock trading at $400 per share is trading an odd lot by definition. Second, the growth of fractional share programs at retail brokers has multiplied the volume of sub-round-lot activity.
SEC research has demonstrated that in many high-priced stocks, the best available prices at any given moment are actually quoted in odd lot quantities and therefore invisible to the official NBBO. This means the published best bid and offer may overstate the true spread available to investors willing to trade in smaller quantities. The SEC addressed this in its 2023 market structure rule adopting a new round lot definition that scales with share price: stocks priced above $250 would have a round lot definition of 10 shares, and stocks priced above $1,000 would have a round lot definition of one share, ensuring that relevant price information is incorporated into the official NBBO.