November 2023 MONTHLY AGGREGATE TRADING DATA
November 2023 Monthly Aggregate Trading DatA
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 63.80% |
| EMM | 20.38% |
| Agency Algo/SOR | 13.37% |
| LT-PROP | 2.09% |
| ECN/EXCH | 0.16% |
| HT: Agency | 0.10% |
| S/Access | 0.10% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 40.11% |
| Inside NBBO excluding Midpoint | 10.39% |
| At Midpoint* | 49.50% |
Average Executed Notional Block Data
| >$200K | 2.34% |
| $100K – $200K | 2.78% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 20 |
| p50 | 21 |
| p75 | 23 |
| p90 | 28 |
| p95 | 42 |
| p99 | 261 |
Conditional Order Statistics
- Median response time 1.144 milliseconds
- Average firm-up rate (orders) 84.84%
- Conditional percentage of ADV 6.14%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 8,084,374
- VWAP Block Unique Symbols Traded: 3,464
- VWAP Slice ADV (shares): 22,584,472
- VWAP Slice Unique Symbols Traded: 3,215
VWAP Executed Volume by Market Cap
| Large Cap | 55.70% |
| Mid Cap | 30.11% |
| Small Cap | 14.19% |
VWAP Executed Symbols by Market Cap
| Large Cap | 848 |
| Mid Cap | 1,127 |
| Small Cap | 1,762 |
VWAP Volume Breakdown
| Open to Counterparty | % |
| Open Only to Self-Match | % |
| Contra Matched | % |
| Self-Matched | % |
Odd Lot Statistics
- Odd Lot percentage of ADV 17.35
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 48 | 70.80% |
| 500 – 999 | 637 | 9.52% |
| 1,000 – 1,999 | 1,260 | 7.12% |
| 2,000 – 4,999 | 2,859 | 5.41% |
| 5,000 – 9,999 | 6,481 | 2.83% |
| ≥ 10,000 | 23,308 | 4.33% |
| Trade Basket | Avg Trade Size | Volume |
| All | 66 | 100.00% |
| ≥ 500 | 1,264 | 29.20% |
| ≥ 1,000 | 2,412 | 19.68% |
| ≥ 2,000 | 4,998 | 12.57% |
| ≥ 5,000 | 11,510 | 7.16% |
| ≥ 10,000 | 23,308 | 4.33% |
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