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

November 2024 Aggregate Trade

November 2024 M

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October 2024 Aggregate Trade

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September 2024 Aggregate Trade

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August 2024 Aggregate Trade

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July 2024 Aggregate Trade

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June 2024 Aggregate Trade

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*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

NOVEMBER 2024 MONTHLY AGGREGATE TRADING DATA


November 2024 Monthly Aggregate Trading DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D69.57%
EMM14.90%
Agency Algo/SOR13.54%
LT-PROP1.69%
HT: Agency0.14%
ECN/EXCH0.10%
S/Access0.06%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask29.94%
Inside NBBO excluding Midpoint10.43%
At Midpoint*59.73%

Average Executed Notional Block Data

>$200K12.44%
$100K – $200K4.48%

Platform Latency

p-ValueMicroseconds
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 max81.11%
5 min – 5 max6.63%
1 min – 1 max6.54%
Other5.72%

VWAP Executed Volume By Market CAP

Large Cap57.95%
Mid Cap30.04%
Small Cap12.00%

VWAP Executed Symbols by Market Cap

Large Cap1,028
Mid Cap1,188
Small Cap2,102

VWAP INFLOW Breakdown

Open to Counterparty21.35%
Open Only to Self-Match78.65%
Contra Matched2.85%
Self-Matched97.15%

Odd lot Statistics

  • Odd Lot percentage of ADV 18.02%

Average Trade Size

  • 51 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4993260.85%
500 – 9996478.84%
1,000 – 1,9991,2927.39%
2,000 – 4,9992,9097.30%
5,000 – 9,9996,7214.77%
≥ 10,00023,61010.85%
Trade BasketAvg Trade SizeVolume
All51100.00%
≥ 5001,69839.15%
≥ 1,0003,22530.31%
≥ 2,0006,22922.92%
≥ 5,00013,35815.62%
≥ 10,00023,61010.85%

Archives

November 2024 Aggregate Trade

November 2024 M

Read more...
October 2024 Aggregate Trade

Read more...
September 2024 Aggregate Trade

Read more...
August 2024 Aggregate Trade

Read more...
July 2024 Aggregate Trade

Read more...
June 2024 Aggregate Trade

Read more...
*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