MAY 2024 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D70.70%
EMM13.98%
Agency Algo/SOR13.18%
LT-PROP1.81%
ECN/EXCH0.13%
HT: Agency0.11%
S/Access0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask35.44%
Inside NBBO excluding Midpoint11.28%
At Midpoint*53.28%

Average Executed Notional Block Data

>$200K5.28%
$100K – $200K2.21%

Platform Latency

p-ValueMicroseconds
p0 12
p25 15
p50 16
p75 18
p90 21
p95 24
p99 37

Conditional Order Statistics

  • Median response time: 0.994 milliseconds
  • Average firm-up rate (orders): 86.67%
  • Conditional percentage of ADV: 5.58%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 44,427,849
  • VWAP Block Unique Symbols Traded: 4,232
  • VWAP Slice ADV (shares): 20,974,292
  • VWAP Slice Unique Symbols Traded: 3,405

VWAP Order Time Percentage

1 min – 1 max63.11%
1 min – 2 max26.10%
5 min – 5 max4.80%
Other5.99%

VWAP Executed Volume By Market CAP

Large Cap53.11%
Mid Cap30.40%
Small Cap16.49%

VWAP Executed Symbols by Market Cap

Large Cap954
Mid Cap1,203
Small Cap2,136

VWAP INFLOW Breakdown

Open to Counterparty21.88%
Open Only to Self-Match78.12%
Contra Matched.03%
Self-Matched99.97%

Odd lot Statistics

  • Odd Lot percentage of ADV 28.99%

Average Trade Size

  • 25 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4991972.68%
500 – 9996398.84%
1,000 – 1,9991,2636.40%
2,000 – 4,9992,8504.88%
5,000 – 9,9996,5462.48%
≥ 10,00023,2774.71%
Trade BasketAvg Trade SizeVolume
All25100.00%
≥ 5001,28827.32%
≥ 1,0002,50918.47%
≥ 2,0005,26212.08%
≥ 5,00012,3777.19%
≥ 10,00023,2774.71%

Archives

June 2024 Aggregate Trade

May2024 Aggregate Trade

April 2024 Aggregate Trade

March 2024 Aggregate Trade Data

February 2024 Aggregate Trade Data

January 2024 Aggregate Trade Data

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