DECEMBER 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D63.98%
EMM19.41%
Agency Algo/SOR13.36%
LT-PROP2.43%
HT: Agency0.57%
ECN/EXCH0.16%
S/Access0.09%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask43.19%
Inside NBBO excluding Midpoint9.46%
At Midpoint*47.35%

Average Executed Notional Block Data

>$200K5.53%
$100K – $200K2.52%

Platform Latency

p-ValueMicroseconds
p012
p2520
p5021
p7522
p9026
p9531
p9947

Conditional Order Statistics

  • Median response time: 1.187 milliseconds
  • Average firm-up rate (orders): 83.77%
  • Conditional percentage of ADV: 5.98%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 8,771,245
  • VWAP Block Unique Symbols Traded: 3,505
  • VWAP Slice ADV (shares): 21,664,114
  • VWAP Slice Unique Symbols Traded: 3,311

VWAP Order Time Percentage

1 min – 1 max73.80%
5 min – 5 max6.72%
5 min – 60 max1.48%
59 min – 60 max0.91%
Other17.09%

VWAP Executed Volume By Market CAP

Large Cap57.48%
Mid Cap27.39%
Small Cap15.13%

VWAP Executed Symbols by Market Cap

Large Cap891
Mid Cap1,136
Small Cap1,799

VWAP INFLOW Breakdown

Open to Counterparty40.76%
Open Only to Self-Match59.24%
Contra Matched5.65%
Self-Matched94.35%

Odd lot Statistics

  • Odd Lot percentage of ADV 16.71

Average Trade Size

  • 71 shares

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4994867.14%
500 – 9996379.16%
1,000 – 1,9991,2417.58%
2,000 – 4,9992,8785.91%
5,000 – 9,9996,6303.47%
≥ 10,00022.7216.74%
Trade BasketAvg Trade SizeVolume
All71100.00%
≥ 5001,40732.86%
≥ 1,0002,63823.70%
≥ 2,0005,61116.11%
≥ 5,00012,45710.21%
≥ 10,00022,7216.74%

Archives

April 2024 Aggregate Trade

March 2024 Aggregate Trade Data

February 2024 Aggregate Trade Data

January 2024 Aggregate Trade Data

December 2023 Aggregate Trade Data

November 2023 Aggregate Trade Data

*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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