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 20.09%
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% |
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