Demystifying Equity Market Structure & Fee Economics
Marcus Vance
Fintech Systems Engineer & Microstructure ResearcherMarcus is a financial software engineer and distributed systems architect with over twelve years of experience engineering FIX protocol messaging layers, automated order routing adapters, and market data parsers. After auditing millions of institutional order executions, he observed how retail traders were routinely stripped of public exchange rebates while retail brokerages pocketed millions through wholesale Payment for Order Flow (PFOF). Marcus created REBATE to bring complete mathematical transparency to SEC Rule 610 fee structures, allowing independent traders to simulate net routing yields across all major national exchanges.
The Core Inequity: The Illusion of "Free" Trading
In modern equity markets, "zero-commission" trading is not free. Retail brokers bundle non-directed order flow and sell it to wholesale internalizers under Payment for Order Flow (PFOF) arrangements. In doing so, active traders surrender 100% of the exchange liquidity rebates they generate, while frequently suffering from inferior price improvement on wide bid-ask spreads.
Our Quantitative Modeling Engine
REBATE continuously models execution economics under three quantitative dimensions:
- Exchange Fee Schedules (SEC Rule 610): Auditing public regulatory filings to reflect true published maker rebates and taker access caps across national market centers.
- Inverted Venue Optimization: Calculating net routing alpha by matching aggressive taker order flow with venues that pay rebates to cross the spread.
- Effective Bps on Notional: Converting per-share pennies into institutional basis point metrics across varying average daily volume tiers.