November 2023 MONTHLY AGGREGATE TRADING DATA
November 2023 Monthly Aggregate Trading DatA
Segment Concentration as a Percentage of ADV
Segment Breakdown | |
---|---|
B/D | 63.80% |
EMM | 20.38% |
Agency Algo/SOR | 13.37% |
LT-PROP | 2.09% |
ECN/EXCH | 0.16% |
HT: Agency | 0.10% |
S/Access | 0.10% |
HT-Prop | 0.00% |
Spread Execution Metrics
At Bid/Ask | 40.11% |
Inside NBBO excluding Midpoint | 10.39% |
At Midpoint* | 49.50% |
Average Executed Notional Block Data
>$200K | 2.34% |
$100K – $200K | 2.78% |
Platform Latency
p-Value | Microseconds |
---|---|
p0 | 12 |
p25 | 20 |
p50 | 21 |
p75 | 23 |
p90 | 28 |
p95 | 42 |
p99 | 261 |
Conditional Order Statistics
- Median response time 1.144 milliseconds
- Average firm-up rate (orders) 84.84%
- Conditional percentage of ADV 6.14%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 8,084,374
- VWAP Block Unique Symbols Traded: 3,464
- VWAP Slice ADV (shares): 22,584,472
- VWAP Slice Unique Symbols Traded: 3,215
VWAP Executed Volume by Market Cap
Large Cap | 55.70% |
Mid Cap | 30.11% |
Small Cap | 14.19% |
VWAP Executed Symbols by Market Cap
Large Cap | 848 |
Mid Cap | 1,127 |
Small Cap | 1,762 |
VWAP Volume Breakdown
Open to Counterparty | % |
Open Only to Self-Match | % |
Contra Matched | % |
Self-Matched | % |
Odd Lot Statistics
- Odd Lot percentage of ADV 17.35
LEVEL EXECUTIONS BY TRADE SIZE
Trade Basket | Avg Trade Size | Volume |
1 – 499 | 48 | 70.80% |
500 – 999 | 637 | 9.52% |
1,000 – 1,999 | 1,260 | 7.12% |
2,000 – 4,999 | 2,859 | 5.41% |
5,000 – 9,999 | 6,481 | 2.83% |
≥ 10,000 | 23,308 | 4.33% |
Trade Basket | Avg Trade Size | Volume |
All | 66 | 100.00% |
≥ 500 | 1,264 | 29.20% |
≥ 1,000 | 2,412 | 19.68% |
≥ 2,000 | 4,998 | 12.57% |
≥ 5,000 | 11,510 | 7.16% |
≥ 10,000 | 23,308 | 4.33% |
Archives
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here
For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading, LLC Member FINRA and SIPC