Some of the underlying data here [1] on the effective spreads of the various market centers. Bats also publishes the definitions of these metrics [2]. They se

Some of the underlying data here [1] on the effective spreads of the various market centers. Bats also publishes the definitions of these metrics [2]. They seem to be difficult to game, since they're derived from actually executed trades compared to the midpoint NBBO (that is, the national best bid/offer -- by definition, at that time, cheaper than any exchange to buy, and more expensive than any exchange to sell). The low volume numbers make it slightly more difficult to determine significance, but the effect does appear to be real, which I found slightly surprising. [1] https://www.bats.com/us/equities/market_statistics/execution_quality/ https://www.bats.com/us/equities/market_statistics/execution... [2] https://www.bats.com/us/equities/market_statistics/execution_quality/definitions/ https://www.bats.com/us/equities/market_statistics/execution...