What is normal market size? What is NMS?
Normal market size is a classification that determines whether market makers have to honor their quoted bid and offer prices. To clarify, if a company has a relative small number of outstanding shares (perhaps only 1 million) and someone attempts to buy 10,000 shares, it would be unfair to force the market maker to apply its quoted bid price for such a relatively large order. Thus, the normal market size calculation defines the size of orders that market makers must honor their quoted prices on.
Normal market size, abbreviated NMS, is calculated for each stock based on the average daily turnover in the previous year.