NBBO classification

It read: estimated buyer/seller via tick-test, no NBBO. That was not what the pipeline did. The most actively traded contracts have been classified from the live NBBO — the actual bid and ask standing at the moment of the print — and the tick test only ever covered everything else.

The note understated the product for as long as it stood. It has been rewritten to describe both paths, and to say plainly where the tick test is weak: it is directionally reliable on busy contracts, noisier on thin ones, and it under-reports Ambiguous, because a print at an unchanged price inherits the previous direction instead of landing at the mid.

A badge beside the ticker now reads the measured share for the session on screen — 56% NBBO, say — and the note repeats it in a sentence. It is computed from the premium itself, not from a contract count, so it answers the question that matters: how much of the money on this chart was placed by a quote you can point at.

The figure moves through the day and differs by ticker. A liquid name with tight markets classifies far more of its flow from the quote than a thin one, and the badge is the only place that difference is visible.

Sessions that predate this measurement show no badge at all — not a dash, not 0%. A placeholder would invite you to read an absent measurement as a low one, which is a different and much worse claim than saying nothing.