Monthly Aggregate Data

March 2023 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D58.35%
EMM22.07%
Agency Algo/SOR15.95%
LT-PROP3.04%
S/Access0.31%
ECN/EXCH0.20%
HT: Agency0.09%
HT-Prop0.01%

Spread Execution Metrics

At Bid/Ask45.37%
Inside NBBO excluding Midpoint13.93%
At Midpoint*40.72%

Average Executed Notional Block Data

>$200K3.86%
$100K – $200K3.25%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7532
p90196
p95313
p99757

 

Conditional Order Statistics

  • Median response time 1.824 milliseconds
  • Average firm-up rate (orders) 79.04%
  • Conditional percentage of ADV 4.70%

VWAP Order Statistics

  • VWAP Block ADV 4,833,303
  • VWAP Block Unique Symbols Traded 3,272
  • VWAP Slice ADV 24,169,870
  • VWAP Slice Unique Symbols Traded 3,373

VWAP Executed Volume by Market Cap

Large Cap51.36%
Mid Cap32.14%
Small Cap16.49%

VWAP Executed Symbols by Market Cap

Large Cap 821
Mid Cap 1,141
Small Cap 1,522

VWAP Volume Breakdown

Open to Counterparty4.67%
Open Only to Self-Match95.33%
Contra Matched0.08%
Self-Matched99.92%

Odd Lot Statistics

  • Odd Lot percentage of ADV 8.16%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998266.32%
500 – 99963310.58%
1,000 – 1,9991,2508.74%
2,000 – 4,9992,8606.98%
5,000 – 9,9996,5203.37%
≥ 10,00019,6714.02%
Trade BasketAvg Trade SizeVolume
All119100.00%
≥ 5001,25433.68%
≥ 1,0002,27623.10%
≥ 2,0004,54414.36%
≥ 5,00010,2477.38%
≥ 10,00019,6714.02%

 

Archives

September 2024 Aggregate Trade

August 2024 Aggregate Trade

July 2024 Aggregate Trade

June 2024 Aggregate Trade

May2024 Aggregate Trade

April 2024 Aggregate Trade

*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
 
For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading Member FINRA and SIPC

SEPTEMBER 2024 MONTHLY AGGREGATE TRADING DATA


SEPTEMBER 2024 Monthly Aggregate Trading DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D73.57%
EMM13.59%
Agency Algo/SOR11.06%
LT-PROP1.48%
ECN/EXCH0.12%
HT: Agency0.10%
S/Access0.07%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask28.48%
Inside NBBO excluding Midpoint8.72%
At Midpoint*62.80%

Average Executed Notional Block Data

>$200K13.23%
$100K – $200K4.87%

Platform Latency

p-ValueMicroseconds
p0 12
p25 15
p50 16
p75 18
p90 21
p95 25
p99 39

Conditional Order Statistics

  • Median response time: 0.945 milliseconds
  • Average firm-up rate (orders): 84.11%
  • Conditional percentage of ADV: 4.43%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 49,678,416
  • VWAP Block Unique Symbols Traded: 4,281
  • VWAP Slice ADV (shares): 22,886,849
  • VWAP Slice Unique Symbols Traded: 3,302

VWAP Order Time Percentage

1 min – 2 max74.78%
1 min – 1 max15.50%
5 min – 5 max5.44%
Other4.28%

VWAP Executed Volume By Market CAP

Large Cap56.51%
Mid Cap30.08%
Small Cap13.41%

VWAP Executed Symbols by Market Cap

Large Cap1,003
Mid Cap1,190
Small Cap2,159

VWAP INFLOW Breakdown

Open to Counterparty28.57%
Open Only to Self-Match71.43%
Contra Matched1.45%
Self-Matched98.55%

Odd lot Statistics

  • Odd Lot percentage of ADV 33.17%

Average Trade Size

  • 44 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4992760.01%
500 – 9996528.96%
1,000 – 1,9991,3057.34%
2,000 – 4,9992,9757.58%
5,000 – 9,9996,7905.13%
≥ 10,00022,78810.97%
Trade BasketAvg Trade SizeVolume
All44100.00%
≥ 5001,72739.99%
≥ 1,0003,29631.03%
≥ 2,0006,25923.68%
≥ 5,00013,01516.11%
≥ 10,00022,78810.97%

Archives

September 2024 Aggregate Trade

August 2024 Aggregate Trade

July 2024 Aggregate Trade

June 2024 Aggregate Trade

May2024 Aggregate Trade

April 2024 Aggregate Trade

*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
 
For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading, LLC Member FINRA and SIPC