JANUARY 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D51.43%
EMM24.46%
Agency Algo/SOR18.49%
LT-PROP4.85%
S/Access0.37%
ECN/EXCH0.33%
HT: Agency0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask48.44%
Inside NBBO excluding Midpoint12.17%
At Midpoint39.41%

Average Executed Notional Block Data

>$200K5.83%
$100K – $200K3.73%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5027
p7597
p90334
p95566
p991,407

Conditional Order Statistics

  • Median response time 2.265 milliseconds
  • Average firm-up rate 81.89%
  • Conditional percentage of ADV 7.05%

VWAP Order Statistics

  • VWAP Block ADV 3,473,252
  • VWAP Block Unique Symbols Traded 2,604
  • VWAP Slice ADV 187,273
  • VWAP Slice Unique Symbols Traded 672

VWAP Executed Volume by Market Cap

Large Cap56.88%
Mid Cap32.83%
Small Cap10.29%

VWAP Executed symbols by Market Cap

Large Cap828
Mid Cap1,062
Small Cap742

Odd Lot Statistics

  • Odd Lot percentage of ADV 4.56%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4999764.00%
500 – 99963111.34%
1,000 – 1,9991,2568.74%
2,000 – 4,9992,8377.53%
5,000 – 9,9996,4923.88%
≥ 10,00020,6464.50%
Trade BasketAvg Trade SizeVolume
All146100.00%
≥ 5001,26736.00%
≥ 1,0002,36424.65%
≥ 2,0004,58615.92%
≥ 5,00010,2768.39%
≥ 10,00020,6464.50%

Archives

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
Definition of terms and additional disclosures click here.

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