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% |
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