JUNE 2024 MONTHLY AGGREGATE TRADING DATA
JUNE 2024 Monthly Aggregate Trading DatA
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 71.69% |
| EMM | 13.31% |
| Agency Algo/SOR | 12.89% |
| LT-PROP | 1.76% |
| HT: Agency | 0.14% |
| ECN/EXCH | 0.12% |
| S/Access | 0.08% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 34.35% |
| Inside NBBO excluding Midpoint | 11.32% |
| At Midpoint* | 54.33% |
Average Executed Notional Block Data
| >$200K | 5.44% |
| $100K – $200K | 2.27% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 11 |
| p25 | 15 |
| p50 | 16 |
| p75 | 18 |
| p90 | 21 |
| p95 | 24 |
| p99 | 39 |
Conditional Order Statistics
- Median response time: 1.308 milliseconds
- Average firm-up rate (orders): 87.41%
- Conditional percentage of ADV: 5.40%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 49,883,000
- VWAP Block Unique Symbols Traded: 4,395
- VWAP Slice ADV (shares): 22,121,843
- VWAP Slice Unique Symbols Traded: 3,420
VWAP Order Time Percentage
| 1 min – 2 max | 79.48% |
| 1 min – 1 max | 14.66% |
| 5 min – 5 max | 2.70% |
| Other | 3.16% |
VWAP Executed Volume By Market CAP
| Large Cap | 53.12% |
| Mid Cap | 28.86% |
| Small Cap | 18.02% |
VWAP Executed Symbols by Market Cap
| Large Cap | 962 |
| Mid Cap | 1,173 |
| Small Cap | 2,313 |
VWAP INFLOW Breakdown
| Open to Counterparty | 27.75% |
| Open Only to Self-Match | 72.25% |
| Contra Matched | 0.52% |
| Self-Matched | 99.43% |
Odd lot Statistics
- Odd Lot percentage of ADV 29.33%
Average Trade Size
- 28 share
EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 21 | 73.77% |
| 500 – 999 | 642 | 8.41% |
| 1,000 – 1,999 | 1,272 | 6.07% |
| 2,000 – 4,999 | 2,857 | 4.63% |
| 5,000 – 9,999 | 6,613 | 2.38% |
| ≥ 10,000 | 23,881 | 4.73% |
| Trade Basket | Avg Trade Size | Volume |
| All | 28 | 100.00% |
| ≥ 500 | 1,307 | 26.23% |
| ≥ 1,000 | 2,562 | 17.81% |
| ≥ 2,000 | 5,390 | 11.74% |
| ≥ 5,000 | 12,737 | 7.11% |
| ≥ 10,000 | 23,881 | 4.73% |
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