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

January 2024 Aggregate Trade Data

December 2023 Aggregate Trade Data

November 2023 Aggregate Trade Data

October 2023 Aggregate Trade Data

September 2023 Aggregate Trade Data

August 2023 Aggregate Trade Data

*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
 
For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading, LLC Member FINRA and SIPC