We examine changes in quote competition, trade aggressiveness, trading costs, volume, and abnormal returns during the pilot phase period of new price protection measures for both NYSE and NASDAQ stocks subject to new rules imposed under SEC Regulation NMS. We find that NYSE stocks exhibit less quote competition, increased fragmentation, and negative abnormal returns following the implementation of the new rules. Changes in trade aggressiveness and trading costs are not significant. NASDAQ stocks exhibit decreased trading costs and increased fragmentation following implementation of the new rules. These changes reflect the nature of the new regulations.