What is the BPR?
The BPR is the “BlockPriceRange.” This represents the range of prices a trader might see in the process of working a 100,000-share (or 25,000-share) order on the continuous market. This range is updated once per minute, and is normally wider than the NBBO spread, reflecting that fact that institutional-sized liquidity is not typically available at the inside market. The BPR is used to determine which orders are within a reasonable price range of the current market.
