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

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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