NOVEMBER 2024 MONTHLY AGGREGATE TRADING DATA
November 2024 Monthly Aggregate Trading DATA
Segment Concentration as a Percentage of ADV
Segment Breakdown | |
---|---|
B/D | 69.57% |
EMM | 14.90% |
Agency Algo/SOR | 13.54% |
LT-PROP | 1.69% |
HT: Agency | 0.14% |
ECN/EXCH | 0.10% |
S/Access | 0.06% |
HT-Prop | 0.00% |
Spread Execution Metrics
At Bid/Ask | 29.94% |
Inside NBBO excluding Midpoint | 10.43% |
At Midpoint* | 59.73% |
Average Executed Notional Block Data
>$200K | 12.44% |
$100K – $200K | 4.48% |
Platform Latency
p-Value | Microseconds |
---|---|
p0 | 12 |
p25 | 16 |
p50 | 16 |
p75 | 18 |
p90 | 21 |
p95 | 25 |
p99 | 37 |
Conditional Order Statistics
- Median response time: 1.044 milliseconds
- Average firm-up rate (orders): 89.41%
- Conditional percentage of ADV: 6.14%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 39,195,991
- VWAP Block Unique Symbols Traded: 4,257
- VWAP Slice ADV (shares): 25,901,629
- VWAP Slice Unique Symbols Traded: 3,345
VWAP Order Time Percentage
1 min – 2 max | 81.11% |
5 min – 5 max | 6.63% |
1 min – 1 max | 6.54% |
Other | 5.72% |
VWAP Executed Volume By Market CAP
Large Cap | 57.95% |
Mid Cap | 30.04% |
Small Cap | 12.00% |
VWAP Executed Symbols by Market Cap
Large Cap | 1,028 |
Mid Cap | 1,188 |
Small Cap | 2,102 |
VWAP INFLOW Breakdown
Open to Counterparty | 21.35% |
Open Only to Self-Match | 78.65% |
Contra Matched | 2.85% |
Self-Matched | 97.15% |
Odd lot Statistics
- Odd Lot percentage of ADV 18.02%
Average Trade Size
- 51 share
EXECUTIONS BY TRADE SIZE
Trade Basket | Avg Trade Size | Volume |
1 – 499 | 32 | 60.85% |
500 – 999 | 647 | 8.84% |
1,000 – 1,999 | 1,292 | 7.39% |
2,000 – 4,999 | 2,909 | 7.30% |
5,000 – 9,999 | 6,721 | 4.77% |
≥ 10,000 | 23,610 | 10.85% |
Trade Basket | Avg Trade Size | Volume |
All | 51 | 100.00% |
≥ 500 | 1,698 | 39.15% |
≥ 1,000 | 3,225 | 30.31% |
≥ 2,000 | 6,229 | 22.92% |
≥ 5,000 | 13,358 | 15.62% |
≥ 10,000 | 23,610 | 10.85% |
*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