DECEMBER 2024 MONTHLY AGGREGATE TRADING DATA
DECEMBER 2024 Monthly Aggregate Trading DATA
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 68.31% |
| EMM | 16.16% |
| Agency Algo/SOR | 13.35% |
| LT-PROP | 1.87% |
| HT: Agency | 0.13% |
| ECN/EXCH | 0.11% |
| S/Access | 0.076% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 29.91% |
| Inside NBBO excluding Midpoint | 10.23% |
| At Midpoint* | 59.86% |
Average Executed Notional Block Data
| >$200K | 11.21% |
| $100K – $200K | 4.38% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 16 |
| p50 | 17 |
| p75 | 18 |
| p90 | 22 |
| p95 | 26 |
| p99 | 49 |
Conditional Order Statistics
- Median response time: 1.054 milliseconds
- Average firm-up rate (orders): 85.02%
- Conditional percentage of ADV: 4.85%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 34,626,294
- VWAP Block Unique Symbols Traded: 4,270
- VWAP Slice ADV (shares): 25,127,555
- VWAP Slice Unique Symbols Traded: 3,450
VWAP Order Time Percentage
| 1 min – 2 max | 76.15% |
| 1 min – 1 max | 10.29% |
| 5 min – 5 max | 7.96% |
| Other | 5.60% |
VWAP Executed Volume By Market CAP
| Large Cap | 56.46% |
| Mid Cap | 28.65% |
| Small Cap | 14.89% |
VWAP Executed Symbols by Market Cap
| Large Cap | 999 |
| Mid Cap | 1,191 |
| Small Cap | 2,162 |
VWAP INFLOW Breakdown
| Open to Counterparty | 27.56% |
| Open Only to Self-Match | 72.44% |
| Contra Matched | 5.08% |
| Self-Matched | 94.92% |
Odd lot Statistics
- Odd Lot percentage of ADV 18.44%
Average Trade Size
- 51 share
EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 32 | 61.00% |
| 500 – 999 | 648 | 9.01% |
| 1,000 – 1,999 | 1,295 | 7.56% |
| 2,000 – 4,999 | 2,917 | 7.33% |
| 5,000 – 9,999 | 6,795 | 4.72% |
| ≥ 10,000 | 23,124 | 10.38% |
| Trade Basket | Avg Trade Size | Volume |
| All | 51 | 100.00% |
| ≥ 500 | 1,666 | 39.00% |
| ≥ 1,000 | 3,158 | 30.00% |
| ≥ 2,000 | 6,136 | 22.43% |
| ≥ 5,000 | 13,204 | 15.10% |
| ≥ 10,000 | 23,124 | 10.38% |
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