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

January 2024 Aggregate Trade Data

December 2023 Aggregate Trade Data

November 2023 Aggregate Trade Data

October 2023 Aggregate Trade Data

September 2023 Aggregate Trade Data

August 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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