Is the ask/bid size represented in round lots or as individual shares?

The quote event has the NBBO ask/bid sizes. According to the CTA/UTP specifications, the ask/bid sizes in the raw quote messages are represented in round lots.

Apparently, the round lot size can vary depending on the security. The UTP quote message has a “Round Lot Size” field to determine how many shares are in one round lot for the given security. I assume CTA has something similar.

Does Alpaca convert the ask/bid sizes from round lots to individual shares before returning them in the Alpaca quote event? If not, does Alpaca provide the round lot size somewhere? Otherwise, the ask/bid sizes cannot be relied upon.

Does Alpaca convert the ask/bid sizes from round lots to individual shares before returning them in the Alpaca quote event?

No, it doesn’t. The bid & ask sizes represent the number of round lot orders. As you noted, this is the size definition used by both the CQS/UTP protocols, and frankly all data providers that I know.

If not, does Alpaca provide the round lot size somewhere?

Not at this time. However, non 100 lots are extremely rare. Some examples include BH, MKL, SEB (round lots of 10), or BRK.A (round lot of 1).

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