August 2023 MONTHLY AGGREGATE TRADING DATA
AUGUST 2023 Monthly Aggregate Trading DatA
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 60.38% |
| EMM | 22.20% |
| Agency Algo/SOR | 14.63% |
| LT-PROP | 2.27% |
| S/Access | 0.23% |
| ECN/EXCH | 0.18% |
| HT: Agency | 0.10% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 46.64% |
| Inside NBBO excluding Midpoint | 12.18% |
| At Midpoint* | 41.21% |
Average Executed Notional Block Data
| >$200K | 3.30% |
| $100K – $200K | 2.60% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 21 |
| p50 | 23 |
| p75 | 25 |
| p90 | 77 |
| p95 | 253 |
| p99 | 662 |
Conditional Order Statistics
- Median response time 1.222 milliseconds
- Average firm-up rate (orders) 86.18%
- Conditional percentage of ADV 4.06%
VWAP Order Statistics
- VWAP Block ADV 5,209,731
- VWAP Block Unique Symbols Traded 3,552
- VWAP Slice ADV 21,511,243
- VWAP Slice Unique Symbols Traded 3,390
VWAP Executed Volume by Market Cap
| Large Cap | 54.46% |
| Mid Cap | 30.77% |
| Small Cap | 14.78% |
VWAP Executed Symbols by Market Cap
| Large Cap | 881 |
| Mid Cap | 1,155 |
| Small Cap | 1,827 |
VWAP Volume Breakdown
| Open to Counterparty | 2.84% |
| Open Only to Self-Match | 97.16% |
| Contra Matched | 0.09% |
| Self-Matched | 99.91% |
Odd Lot Statistics
- Odd Lot percentage of ADV 13.67
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 67 | 69.14% |
| 500 – 999 | 635 | 10.06% |
| 1,000 – 1,999 | 1,244 | 8.24% |
| 2,000 – 4,999 | 2,849 | 6.28% |
| 5,000 – 9,999 | 6,480 | 2.93% |
| ≥ 10,000 | 19,150 | 3.35% |
| Trade Basket | Avg Trade Size | Volume |
| All | 94 | 100.00% |
| ≥ 500 | 1,219 | 30.86% |
| ≥ 1,000 | 2,200 | 20.80% |
| ≥ 2,000 | 4,437 | 12.56% |
| ≥ 5,000 | 10,013 | 6.28% |
| ≥ 10,000 | 19,150 | 3.35% |
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