AUGUST 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D59.55%
EMM20.73%
Agency Algo/SOR16.04%
LT-PROP2.89%
S/Access0.40%
ECN/EXCH0.28%
HT: Agency0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask43.46%
Inside NBBO excluding Midpoint10.80%
At Midpoint*45.75%

Average Executed Notional Block Data

>$200K3.91%
$100K – $200K2.88%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5023
p7529
p90124
p95277
p99739

Conditional Order Statistics

  • Median response time 2.496 milliseconds
  • Average firm-up rate (orders) 82.83%
  • Conditional percentage of ADV 5.36%

VWAP Order Statistics

  • VWAP Block ADV 4,752,350
  • VWAP Block Unique Symbols Traded 3,288
  • VWAP Slice ADV 11,941,562
  • VWAP Slice Unique Symbols Traded 3,230

VWAP Executed Volume by Market Cap

Large Cap51.40%
Mid Cap31.98%
Small Cap16.62%

VWAP Executed Symbols by Market Cap

Large Cap818
Mid Cap1,150
Small Cap1,642

VWAP Volume Breakdown

Open to Counterparty0.12%
Open Only to Self-Match99.88%
Contra Matched0%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 8.94%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998366.80%
500 – 99963011.18%
1,000 – 1,9991,2488.71%
2,000 – 4,9992,8126.82%
5,000 – 9,9996,4733.05%
≥ 10,00019,1173.45%
Trade BasketAvg Trade SizeVolume
All120100.00%
≥ 5001,19533.20%
≥ 1,0002,19022.02%
≥ 2,0004,32913.32%
≥ 5,0009,9816.50%
≥ 10,00019,1173.45%

Archives

June 2024 Aggregate Trade

May2024 Aggregate Trade

April 2024 Aggregate Trade

March 2024 Aggregate Trade Data

February 2024 Aggregate Trade Data

January 2024 Aggregate Trade Data

*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading Member FINRA and SIPC