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

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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