FEBRUARY 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D50.76%
EMM24.93%
Agency Algo/SOR18.80%
LT-PROP4.67%
S/Access0.44%
ECN/EXCH0.30%
HT: Agency0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask49.70%
Inside NBBO excluding Midpoint13.05%
At Midpoint37.25%

Average Executed Notional Block Data

>$200K5.78%
$100K – $200K3.36%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5026
p7594
p90359
p95647
p991,522

Conditional Order Statistics

  • Median response time 1.868 milliseconds
  • Average firm-up rate 78.99%
  • Conditional percentage of ADV 6.23%

VWAP Order Statistics

  • VWAP Block ADV 3,319,149
  • VWAP Block Unique Symbols Traded 2,563
  • VWAP Slice ADV 878,482
  • VWAP Slice Unique Symbols Traded 1,644

VWAP Executed Volume by Market Cap

Large Cap54.04%
Mid Cap35.23%
Small Cap10.73%

VWAP Executed symbols by Market Cap

Large Cap846
Mid Cap1,112
Small Cap800

Odd Lot Statistics

  • Odd Lot percentage of ADV 5.54%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4999565.82%
500 – 99963011.21%
1,000 – 1,9991,2678.41%
2,000 – 4,9992,8377.12%
5,000 – 9,9996,5403.35%
≥ 10,00020,7754.19%
Trade BasketAvg Trade SizeVolume
All139100.00%
≥ 5001,24234.18%
≥ 1,0002,33923.06%
≥ 2,0004,54514.66%
≥ 5,00010,5607.53%
≥ 10,00020,7754.19%

Archives

September 2024 Aggregate Trade

August 2024 Aggregate Trade

July 2024 Aggregate Trade

June 2024 Aggregate Trade

May2024 Aggregate Trade

April 2024 Aggregate Trade

*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here

For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading Member FINRA and SIPC