AUGUST 2024 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D70.75%
EMM14.95%
Agency Algo/SOR12.24%
LT-PROP1.74%
ECN/EXCH0.14%
HT: Agency0.10%
S/Access0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask30.34%
Inside NBBO excluding Midpoint11.00%
At Midpoint*58.65%

Average Executed Notional Block Data

>$200K11.61%
$100K – $200K4.41%

Platform Latency

p-ValueMicroseconds
p0 12
p25 15
p50 16
p75 18
p90 21
p95 25
p99 40

Conditional Order Statistics

  • Median response time: 0.991 milliseconds
  • Average firm-up rate (orders): 89.69%
  • Conditional percentage of ADV: 4.99%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 40,898,966
  • VWAP Block Unique Symbols Traded: 4,158
  • VWAP Slice ADV (shares): 19,411,948
  • VWAP Slice Unique Symbols Traded: 3,212

VWAP Order Time Percentage

1 min – 2 max73.49%
1 min – 1 max17.28%
5 min – 5 max4.58%
Other4.65%

VWAP Executed Volume By Market CAP

Large Cap55.70%
Mid Cap30.69%
Small Cap13.61%

VWAP Executed Symbols by Market Cap

Large Cap969
Mid Cap1,199
Small Cap2,043

VWAP INFLOW Breakdown

Open to Counterparty28.75%
Open Only to Self-Match71.25%
Contra Matched1.38%
Self-Matched98.62%

Odd lot Statistics

  • Odd Lot percentage of ADV 19.39%

Average Trade Size

  • 48 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4993062.01%
500 – 9996529.33%
1,000 – 1,9991,3077.08%
2,000 – 4,9992,9476.97%
5,000 – 9,9996,7954.56%
≥ 10,00023,04210.04%
Trade BasketAvg Trade SizeVolume
All48100.00%
≥ 5001,63737.99%
≥ 1,0003,22328.66%
≥ 2,0006,21321.58%
≥ 5,00013,19114.60%
≥ 10,00023,04210.04%

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
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