MAy 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D60.20%
EMM21.98%
Agency Algo/SOR14.50%
LT-PROP2.71%
S/Access0.34%
ECN/EXCH0.15%
HT: Agency0.11%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask44.34%
Inside NBBO excluding Midpoint13.72%
At Midpoint*41.96%

Average Executed Notional Block Data

>$200K3.78%
$100K – $200K2.82%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7526
p90119
p95297
p99846

Conditional Order Statistics

  • Median response time 1.663 milliseconds
  • Average firm-up rate (orders) 83.19%
  • Conditional percentage of ADV 5.47%

VWAP Order Statistics

  • VWAP Block ADV 5,235,917
  • VWAP Block Unique Symbols Traded 3,218
  • VWAP Slice ADV 24,602,628
  • VWAP Slice Unique Symbols Traded 3,326

VWAP Executed Volume by Market Cap

Large Cap52.65%
Mid Cap33.03%
Small Cap14.32%

VWAP Executed Symbols by Market Cap

Large Cap801
Mid Cap1,108
Small Cap1,716

VWAP Volume Breakdown

Open to Counterparty2.92%
Open Only to Self-Match97.08%
Contra Matched0.05%
Self-Matched99.95%

Odd Lot Statistics

  • Odd Lot percentage of ADV 12.30%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4997969.81%
500 – 99963010.32%
1,000 – 1,9991,2587.98%
2,000 – 4,9992,8426.16%
5,000 – 9,9996,5392.82%
≥ 10,00019,5492.91%
Trade BasketAvg Trade SizeVolume
All110100.00%
≥ 5001,18530.19%
≥ 1,0002,18519.87%
≥ 2,0004,32711.89%
≥ 5,0009,8765.73%
≥ 10,00019,5492.91%

Archives

October 2024 Aggregate Trade

September 2024 Aggregate Trade

August 2024 Aggregate Trade

July 2024 Aggregate Trade

June 2024 Aggregate Trade

May2024 Aggregate Trade

*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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