JUNE 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D61.11%
EMM22.36%
Agency Algo/SOR13.69%
LT-PROP2.38%
S/Access0.18%
ECN/EXCH0.15%
HT: Agency0.12%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask44.48%
Inside NBBO excluding Midpoint14.23%
At Midpoint*41.31%

Average Executed Notional Block Data

>$200K3.63%
$100K – $200K2.75%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7525
p9081
p95258
p99755

Conditional Order Statistics

  • Median response time 1.813 milliseconds
  • Average firm-up rate (orders) 78.36%
  • Conditional percentage of ADV 5.30%

VWAP Order Statistics

  • VWAP Block ADV 5,413,937
  • VWAP Block Unique Symbols Traded 3,531
  • VWAP Slice ADV 26,406,612
  • VWAP Slice Unique Symbols Traded 3,607

VWAP Executed Volume by Market Cap

Large Cap51.21%
Mid Cap31.66%
Small Cap17.13%

VWAP Executed Symbols by Market Cap

Large Cap871
Mid Cap1,134
Small Cap1,940

VWAP Volume Breakdown

Open to Counterparty0.06%
Open Only to Self-Match99.04%
Contra Matched0.00%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 13.59

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4997570.18%
500 – 99963010.15%
1,000 – 1,9991,2567.74%
2,000 – 4,9992,8455.85%
5,000 – 9,9996,4602.80%
≥ 10,00019,0763.28%
Trade BasketAvg Trade SizeVolume
All104100.00%
≥ 5001,19629.82%
≥ 1,0002,23019.67%
≥ 2,0004,58311.93%
≥ 5,00010,0416.08%
≥ 10,00019,0763.28%

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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