APRIL 2023 MONTHLY AGGREGATE TRADING DATA
April 2023 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 59.20% |
| EMM | 21.65% |
| Agency Algo/SOR | 15.78% |
| LT-PROP | 2.87% |
| S/Access | 0.23% |
| ECN/EXCH | 0.17% |
| HT: Agency | 0.09% |
| HT-Prop | 0.01% |
Spread Execution Metrics
| At Bid/Ask | 45.12% |
| Inside NBBO excluding Midpoint | 13.80% |
| At Midpoint* | 41.10% |
Average Executed Notional Block Data
| >$200K | 3.78% |
| $100K – $200K | 2.94% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 21 |
| p50 | 23 |
| p75 | 25 |
| p90 | 100 |
| p95 | 271 |
| p99 | 761 |
Conditional Order Statistics
- Median response time 1.971 milliseconds
- Average firm-up rate (orders) 84.33%
- Conditional percentage of ADV 5.09%
VWAP Order Statistics
- VWAP Block ADV 4,697,575
- VWAP Block Unique Symbols Traded 2,966
- VWAP Slice ADV 20,317,686
- VWAP Slice Unique Symbols Traded 3,266
VWAP Executed Volume by Market Cap
| Large Cap | 56.16% |
| Mid Cap | 30.41% |
| Small Cap | 13.43% |
VWAP Executed Symbols by Market Cap
| Large Cap | 824 |
| Mid Cap | 1,099 |
| Small Cap | 1,582 |
VWAP Volume Breakdown
| Open to Counterparty | 5.31% |
| Open Only to Self-Match | 94.69% |
| Contra Matched | 0.16% |
| Self-Matched | 99.84% |
Odd Lot Statistics
- Odd Lot percentage of ADV 10.90%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 79 | 66.89% |
| 500 – 999 | 631 | 10.46% |
| 1,000 – 1,999 | 1,251 | 8.54% |
| 2,000 – 4,999 | 2,849 | 7.12% |
| 5,000 – 9,999 | 6,507 | 3.35% |
| ≥ 10,000 | 18,623 | 3.63% |
| Trade Basket | Avg Trade Size | Volume |
| All | 115 | 100.00% |
| ≥ 500 | 1,243 | 33.11% |
| ≥ 1,000 | 2,255 | 22.64% |
| ≥ 2,000 | 4,392 | 14.10% |
| ≥ 5,000 | 9,832 | 6.97% |
| ≥ 10,000 | 18,623 | 3.63% |
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