To build a dealer book from the options tape you must decide, print by print, who bought. For simple orders the quote rule does that. But on the day we measured, 40.2% of all SPX option prints were legs of multi-leg packages — and on those legs the quote rule is invalid by construction: an exchange fills a spread at a net price and allocates it across legs by convention, so a leg can print anywhere inside (or outside) its own market regardless of who initiated.
Our terminal signs the package: legs printing on the same millisecond are reassembled into their parent order, the package's net price is compared to a net bid/ask derived from the leg quotes, and the quote rule is applied at that level. The idea is not unique to us. What has never existed — for ours or anyone's scheme — is an accuracy number.
The truth set. Cboe publishes a free trade-by-trade sample: 3% of executions, each carrying the side, the capacity (customer / market maker / firm), the trade type, and an id linking legs of one complex execution. That is per-leg ground truth. Joined to our tape: 12,422 complex legs carry a verdict.
The number:
rule, graded on customer legs
