December 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D59.12%
EMM22.14%
Agency Algo/SOR15.84%
LT-PROP2.37%
S/Access0.26%
ECN/EXCH0.19%
HT: Agency0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask44.52%
Inside NBBO excluding Midpoint12.15%
At Midpoint*43.35%

Average Executed Notional Block Data

>$200K4.33%
$100K – $200K2.77%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5023
p7539
p90212
p95356
p99847

Conditional Order Statistics

  • Median response time 1.915 milliseconds
  • Average firm-up rate (orders) 82.70%
  • Conditional percentage of ADV 5.46%

VWAP Order Statistics

  • VWAP Block ADV 3,899,173
  • VWAP Block Unique Symbols Traded 3,193
  • VWAP Slice ADV 13,541,023
  • VWAP Slice Unique Symbols Traded 3,244

VWAP Executed Volume by Market Cap

Large Cap52.77%
Mid Cap30.67%
Small Cap16.56%

VWAP Executed Symbols by Market Cap

Large Cap793
Mid Cap1,108
Small Cap1,706

VWAP Volume Breakdown

Open to Counterparty0.06%
Open Only to Self-Match99.94%
Contra Matched0%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 9.28%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998265.61%
500 – 99963111.10%
1,000 – 1,9991,2518.73%
2,000 – 4,9992,8797.21%
5,000 – 9,9996,5843.33%
= 10,00019,1894.02%
Trade BasketAvg Trade SizeVolume
All121100.00%
= 5001,23734.39%
= 1,0002,28423.29%
= 2,0004,52314.56%
= 5,00010,2807.35%
= 10,00019,1894.02%

2022 Symbol Concentration

Top 106.53%
Top 25%12.17%
Top 5018.97%
Top 10028.04%
Top 25042.82%
Top 50056.24%

Archives

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

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