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

January 2024 Aggregate Trade Data

December 2023 Aggregate Trade Data

November 2023 Aggregate Trade Data

October 2023 Aggregate Trade Data

September 2023 Aggregate Trade Data

August 2023 Aggregate Trade Data

*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

January 2024 MONTHLY AGGREGATE TRADING DATA


January 2024 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D62.89%
EMM21.74%
Agency Algo/SOR12.91%
LT-PROP2.12%
ECN/EXCH0.15%
S/Access0.10%
HT: Agency0.09%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask40.79%
Inside NBBO excluding Midpoint9.81%
At Midpoint*49.40%

Average Executed Notional Block Data

>$200K6.15%
$100K – $200K2.80%

Platform Latency

p-ValueMicroseconds
p0 11
p25 15
p50 16
p75 17
p90 20
p95 23
p99 36

Conditional Order Statistics

  • Median response time: 1.115 milliseconds
  • Average firm-up rate (orders): 83.88%
  • Conditional percentage of ADV: 6.37%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 9,143,041
  • VWAP Block Unique Symbols Traded: 3,420
  • VWAP Slice ADV (shares): 19,539,742
  • VWAP Slice Unique Symbols Traded: 3,274

VWAP Order Time Percentage

1 min – 1 max71.12%
5 min – 5 max8.35%
5 min – 60 max1.63%
59 min – 60 max0.86%
Other18.04%

VWAP Executed Volume By Market CAP

Large Cap58.81%
Mid Cap28.18%
Small Cap13.01%

VWAP Executed Symbols by Market Cap

Large Cap878
Mid Cap1,112
Small Cap1,718

VWAP INFLOW Breakdown

Open to Counterparty24.60%
Open Only to Self-Match75.40%
Contra Matched6.64%
Self-Matched93.36%

Odd lot Statistics

  • Odd Lot percentage of ADV 16.36%

Average Trade Size

  • 68 shares

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4994869.66%
500 – 9996329.46%
1,000 – 1,9991,2477.17%
2,000 – 4,9992,8555.48%
5,000 – 9,9996,5702.85%
≥ 10,00022,7145.38%
Trade BasketAvg Trade SizeVolume
All68100.00%
≥ 5001,30130.34%
≥ 1,0002,50320.87%
≥ 2,0005,29313.70%
≥ 5,00012,2718.23%
≥ 10,00022,7145.38%

Archives

January 2024 Aggregate Trade Data

December 2023 Aggregate Trade Data

November 2023 Aggregate Trade Data

October 2023 Aggregate Trade Data

September 2023 Aggregate Trade Data

August 2023 Aggregate Trade Data

*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