March 2023 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D58.35%
EMM22.07%
Agency Algo/SOR15.95%
LT-PROP3.04%
S/Access0.31%
ECN/EXCH0.20%
HT: Agency0.09%
HT-Prop0.01%

Spread Execution Metrics

At Bid/Ask45.37%
Inside NBBO excluding Midpoint13.93%
At Midpoint*40.72%

Average Executed Notional Block Data

>$200K3.86%
$100K – $200K3.25%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7532
p90196
p95313
p99757

Conditional Order Statistics

  • Median response time 1.824 milliseconds
  • Average firm-up rate (orders) 79.04%
  • Conditional percentage of ADV 4.70%

VWAP Order Statistics

  • VWAP Block ADV 4,833,303
  • VWAP Block Unique Symbols Traded 3,272
  • VWAP Slice ADV 24,169,870
  • VWAP Slice Unique Symbols Traded 3,373

VWAP Executed Volume by Market Cap

Large Cap51.36%
Mid Cap32.14%
Small Cap16.49%

VWAP Executed Symbols by Market Cap

Large Cap824
Mid Cap1,133
Small Cap1,681

VWAP Volume Breakdown

Open to Counterparty4.67%
Open Only to Self-Match95.33%
Contra Matched0.08%
Self-Matched99.92%

Odd Lot Statistics

  • Odd Lot percentage of ADV 10.02%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998266.32%
500 – 99963310.58%
1,000 – 1,9991,2508.74%
2,000 – 4,9992,8606.98%
5,000 – 9,9996,5203.37%
≥ 10,00019,6714.02%
Trade BasketAvg Trade SizeVolume
All119100.00%
≥ 5001,25433.68%
≥ 1,0002,27623.10%
≥ 2,0004,54414.36%
≥ 5,00010,2477.38%
≥ 10,00019,6714.02%

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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