JUly 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D62.46%
EMM21.11%
Agency Algo/SOR13.34%
LT-PROP2.62%
S/Access0.23%
ECN/EXCH0.16%
HT: Agency0.09%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask48.14%
Inside NBBO excluding Midpoint12.63%
At Midpoint*39.23%

Average Executed Notional Block Data

>$200K4.07%
$100K – $200K2.81%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7525
p9046
p95148
p99510

Conditional Order Statistics

  • Median response time 1.340 milliseconds
  • Average firm-up rate (orders) 81.84%
  • Conditional percentage of ADV 4.35%

VWAP Order Statistics

  • VWAP Block ADV 4,345,073
  • VWAP Block Unique Symbols Traded 3,384
  • VWAP Slice ADV 22,673,215
  • VWAP Slice Unique Symbols Traded 3,373

VWAP Executed Volume by Market Cap

Large Cap57.86%
Mid Cap29.39%
Small Cap12.75%

VWAP Executed Symbols by Market Cap

Large Cap872
Mid Cap1,140
Small Cap1,789

VWAP Volume Breakdown

Open to Counterparty0.34%
Open Only to Self-Match99.66%
Contra Matched0.003%
Self-Matched99.997%

Odd Lot Statistics

  • Odd Lot percentage of ADV 13.51

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4997269.79%
500 – 99963110.16%
1,000 – 1,9991,2587.84%
2,000 – 4,9992,8606.16%
5,000 – 9,9996,4842.70%
≥ 10,00019,0633.34%
Trade BasketAvg Trade SizeVolume
All100100.00%
≥ 5001,20530.21%
≥ 1,0002,23320.05%
≥ 2,0004,44512.21%
≥ 5,00010,2216.04%
≥ 10,00019,0633.34%

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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