January 2024 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D62.89%
EMM21.74%
Agency Algo/SOR12.91%
LT-PROP2.12%
ECN/EXCH0.15%
S/Access0.10%
HT: Agency0.09%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask40.79%
Inside NBBO excluding Midpoint9.81%
At Midpoint*49.40%

Average Executed Notional Block Data

>$200K6.15%
$100K – $200K2.80%

Platform Latency

p-ValueMicroseconds
p0 11
p25 15
p50 16
p75 17
p90 20
p95 23
p99 36

Conditional Order Statistics

  • Median response time: 1.115 milliseconds
  • Average firm-up rate (orders): 83.88%
  • Conditional percentage of ADV: 6.37%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 9,143,041
  • VWAP Block Unique Symbols Traded: 3,420
  • VWAP Slice ADV (shares): 19,539,742
  • VWAP Slice Unique Symbols Traded: 3,274

VWAP Order Time Percentage

1 min – 1 max71.12%
5 min – 5 max8.35%
5 min – 60 max1.63%
59 min – 60 max0.86%
Other18.04%

VWAP Executed Volume By Market CAP

Large Cap58.81%
Mid Cap28.18%
Small Cap13.01%

VWAP Executed Symbols by Market Cap

Large Cap878
Mid Cap1,112
Small Cap1,718

VWAP INFLOW Breakdown

Open to Counterparty24.60%
Open Only to Self-Match75.40%
Contra Matched6.64%
Self-Matched93.36%

Odd lot Statistics

  • Odd Lot percentage of ADV 16.36%

Average Trade Size

  • 68 shares

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4994869.66%
500 – 9996329.46%
1,000 – 1,9991,2477.17%
2,000 – 4,9992,8555.48%
5,000 – 9,9996,5702.85%
≥ 10,00022,7145.38%
Trade BasketAvg Trade SizeVolume
All68100.00%
≥ 5001,30130.34%
≥ 1,0002,50320.87%
≥ 2,0005,29313.70%
≥ 5,00012,2718.23%
≥ 10,00022,7145.38%

Archives

May2024 Aggregate Trade

April 2024 Aggregate Trade

March 2024 Aggregate Trade Data

February 2024 Aggregate Trade Data

January 2024 Aggregate Trade Data

December 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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