SEPTEMBER 2024 MONTHLY AGGREGATE TRADING DATA
SEPTEMBER 2024 Monthly Aggregate Trading DATA
Segment Concentration as a Percentage of ADV
Segment Breakdown | |
---|---|
B/D | 73.57% |
EMM | 13.59% |
Agency Algo/SOR | 11.06% |
LT-PROP | 1.48% |
ECN/EXCH | 0.12% |
HT: Agency | 0.10% |
S/Access | 0.07% |
HT-Prop | 0.00% |
Spread Execution Metrics
At Bid/Ask | 28.48% |
Inside NBBO excluding Midpoint | 8.72% |
At Midpoint* | 62.80% |
Average Executed Notional Block Data
>$200K | 13.23% |
$100K – $200K | 4.87% |
Platform Latency
p-Value | Microseconds |
---|---|
p0 | 12 |
p25 | 15 |
p50 | 16 |
p75 | 18 |
p90 | 21 |
p95 | 25 |
p99 | 39 |
Conditional Order Statistics
- Median response time: 0.945 milliseconds
- Average firm-up rate (orders): 84.11%
- Conditional percentage of ADV: 4.43%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 49,678,416
- VWAP Block Unique Symbols Traded: 4,281
- VWAP Slice ADV (shares): 22,886,849
- VWAP Slice Unique Symbols Traded: 3,302
VWAP Order Time Percentage
1 min – 2 max | 74.78% |
1 min – 1 max | 15.50% |
5 min – 5 max | 5.44% |
Other | 4.28% |
VWAP Executed Volume By Market CAP
Large Cap | 56.51% |
Mid Cap | 30.08% |
Small Cap | 13.41% |
VWAP Executed Symbols by Market Cap
Large Cap | 1,003 |
Mid Cap | 1,190 |
Small Cap | 2,159 |
VWAP INFLOW Breakdown
Open to Counterparty | 28.57% |
Open Only to Self-Match | 71.43% |
Contra Matched | 1.45% |
Self-Matched | 98.55% |
Odd lot Statistics
- Odd Lot percentage of ADV 33.17%
Average Trade Size
- 44 share
EXECUTIONS BY TRADE SIZE
Trade Basket | Avg Trade Size | Volume |
1 – 499 | 27 | 60.01% |
500 – 999 | 652 | 8.96% |
1,000 – 1,999 | 1,305 | 7.34% |
2,000 – 4,999 | 2,975 | 7.58% |
5,000 – 9,999 | 6,790 | 5.13% |
≥ 10,000 | 22,788 | 10.97% |
Trade Basket | Avg Trade Size | Volume |
All | 44 | 100.00% |
≥ 500 | 1,727 | 39.99% |
≥ 1,000 | 3,296 | 31.03% |
≥ 2,000 | 6,259 | 23.68% |
≥ 5,000 | 13,015 | 16.11% |
≥ 10,000 | 22,788 | 10.97% |
*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