MONTHLY AVERAGES  | LeveL |
| | VWAP ADV Executed – Block | 4,637,536 | | VWAP ADV Executed – Slice | 12,276,817 | | Average Symbols Matched Daily | 6,679 |
|
| | Luminex |
| | Average Order Size | 112,921 | | Notional Traded | $13,.3 billion | | Average Rest Time | 79 minutes |
LEVEL – EXECUTED VOLUME BY MARKET SECTOR
| ETF & ETN | 21.59% | | Information Technology | 15.87% | | Consumer Discretionary | 12.00% | | Health Care | 11.25% | | Financials | 9.93% | | Industrials | 6.84%
| | Communication Services | 6.13% | | Energy | 4.99%
| | Materials | 4.01% | Consumer Staples
| 2.88% | Real Estate
| 2.56% | Utilities
| 1.44% | | Closed End & Trusts | 0.52% |
LEVEL – MATCHED SHARES BY MARKET CAP | Large Cap | 44% | | Mid Cap | 24% | | Small Cap | 31% |
LeveL – WAP MONTHLY ADV
LEVEL CONDITIONAL ORDER STATS | Median response time (milliseconds) | 1.89i | | Average Firm-Up Rate | 83.07% | | Conditional percentage of ADV | 4.70% |
| | LUMINEX – AVERAGE BLOCK SIZE JANUARY 2023
LUMINEX – EXECUTED VOLUME BY MARKET SECTOR
| Information Technology | 19.78% | | Health Care | 19.28% | | Consumer Discretionary | 13.71% | | Financials | 13.63% | | Utilities | 7.74% | | Industrials | 7.53%
| | Materials | 5.59% | | Real Estate | 4.26%
| | Energy | 4.20% | Consumer Staples
| 3.36% | Telecommunication Services
| 0.92% | | ETF & ETN | 0.00% | Closed End & Trust
| 0.00% |
LUMINEX – MATCHED SHARES BY MARKET CAP | Large Cap | 60% | | Mid Cap | 23% | | Small Cap | 16% | | Micro Cap | 0.05% |
LEVELUP – FILL RATES BY MARKET CAP | Large Cap | 52% | | Mid Cap | 54% | | Small Cap | 37% | | Micro Cap | 23% |
LEVELUP – HIT RATE BY STRATEGY | BD/AA/SOR | 81% | | BD/AA/SOR/EMM | 66% |
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