January 2023 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D58.55%
EMM21.08%
Agency Algo/SOR16.72%
LT-PROP3.04%
S/Access0.30%
ECN/EXCH0.23%
HT: Agency0.09%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask42.58%
Inside NBBO excluding Midpoint11.89%
At Midpoint*45.56%

Average Executed Notional Block Data

>$200K4.78%
$100K – $200K3.03%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5023
p7531
p90177
p95318
p99772

Conditional Order Statistics

  • Median response time 1.879 milliseconds
  • Average firm-up rate (orders) 83.07%
  • Conditional percentage of ADV 4.70%

VWAP Order Statistics

  • VWAP Block ADV 4,637,536
  • VWAP Block Unique Symbols Traded 3,062
  • VWAP Slice ADV 12,276,817
  • VWAP Slice Unique Symbols Traded 3,088

VWAP Executed Volume by Market Cap

Large Cap57.98%
Mid Cap29.85%
Small Cap12.17%

VWAP Executed Symbols by Market Cap

Large Cap 835
Mid Cap 1,145
Small Cap 1,454

VWAP Volume Breakdown

Open to Counterparty 7.56%
Open Only to Self-Match 92.44%
Contra Matched .32%
Self-Matched 99.68%

Odd Lot Statistics

  • Odd Lot percentage of ADV 8.16%

LEVEL EXECUTIONS BY TRADE SIZE

Trade Basket Avg Trade Size Volume
1 – 499 84 63.17%
500 – 999 632 10.44%
1,000 – 1,999 1,248 8.82%
2,000 – 4,999 2,878 7.64%
5,000 – 9,999 6,710 4.32%
= 10,000 19,696 5.61%
Trade Basket Avg Trade Size Volume
All 129 100.00%
= 500 1,356 36.83%
= 1,000 2,479 26.39%
= 2,000 4,905 17.57%
= 5,000 10,693 9.94%
= 10,000 19,696 5.61%

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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