AUGUST 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D60.38%
EMM22.20%
Agency Algo/SOR14.63%
LT-PROP2.27%
S/Access0.23%
ECN/EXCH0.18%
HT: Agency0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask46.64%
Inside NBBO excluding Midpoint12.18%
At Midpoint*41.21%

Average Executed Notional Block Data

>$200K3.30%
$100K – $200K2.60%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7525
p9077
p95253
p99662

Conditional Order Statistics

  • Median response time 1.222 milliseconds
  • Average firm-up rate (orders) 86.18%
  • Conditional percentage of ADV 4.06%

VWAP Order Statistics

  • VWAP Block ADV 5,209,731
  • VWAP Block Unique Symbols Traded 3,552
  • VWAP Slice ADV 21,511,243
  • VWAP Slice Unique Symbols Traded 3,390

VWAP Executed Volume by Market Cap

Large Cap54.46%
Mid Cap30.77%
Small Cap14.78%

VWAP Executed Symbols by Market Cap

Large Cap881
Mid Cap1,155
Small Cap1,827

VWAP Volume Breakdown

Open to Counterparty2.84%
Open Only to Self-Match97.16%
Contra Matched0.09%
Self-Matched99.91%

Odd Lot Statistics

  • Odd Lot percentage of ADV 13.67

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4996769.14%
500 – 99963510.06%
1,000 – 1,9991,2448.24%
2,000 – 4,9992,8496.28%
5,000 – 9,9996,4802.93%
≥ 10,00019,1503.35%
Trade BasketAvg Trade SizeVolume
All94100.00%
≥ 5001,21930.86%
≥ 1,0002,20020.80%
≥ 2,0004,43712.56%
≥ 5,00010,0136.28%
≥ 10,00019,1503.35%

Archives

July 2023 Aggregate Trade Data

June 2023 Aggregate Trade Data

May 2023 Aggregate Trade Data

April 2023 Aggregate Trade Data

March 2023 Aggregate Trade Data

February 2023 Monthly Aggregate Trade Data

January 2023 Monthly Aggregate Trade Data

December 2022 MONTHLY AGGREGATE TRADING DATA

November 2022 MONTHLY AGGREGATE TRADING DATA

OCTOBER 2022 MONTHLY AGGREGATE TRADING DATA

SEPTEMBER 2022 MONTHLY AGGREGATE TRADING DATA

AUGUST 2022 MONTHLY AGGREGATE TRADING DATA

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