November 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D59.15%
EMM22.80%
Agency Algo/SOR14.92%
LT-PROP2.58%
S/Access0.25%
ECN/EXCH0.20%
HT: Agency0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask43.81%
Inside NBBO excluding Midpoint10.02%
At Midpoint*43.12%

Average Executed Notional Block Data

>$200K4.53%
$100K – $200K3.10%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5023
p7553
p90255
p95404
p99973

Conditional Order Statistics

  • Median response time 2.268 milliseconds
  • Average firm-up rate (orders) 80.86%
  • Conditional percentage of ADV 6.40%

VWAP Order Statistics

  • VWAP Block ADV 4,990,948
  • VWAP Block Unique Symbols Traded 3,197
  • VWAP Slice ADV 16,644,092
  • VWAP Slice Unique Symbols Traded 3,259

VWAP Executed Volume by Market Cap

Large Cap55.86%
Mid Cap31.02%
Small Cap13.12%

VWAP Executed Symbols by Market Cap

Large Cap816
Mid Cap1,169
Small Cap1,544

VWAP Volume Breakdown

Open to Counterparty0.09%
Open Only to Self-Match99.91%
Contra Matched0%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 9.68%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998365.58%
500 – 99963010.82%
1,000 – 1,9991,2588.93%
2,000 – 4,9992,8587.69%
5,000 – 9,9996,4733.18%
= 10,00018,4513.80%
Trade BasketAvg Trade SizeVolume
All122100.00%
= 5001,24434.42%
= 1,0002,25023.60%
= 2,0004,33014.67%
= 5,00010,0066.98%
= 10,00018,4513.80%

Archives

May2024 Aggregate Trade

April 2024 Aggregate Trade

March 2024 Aggregate Trade Data

February 2024 Aggregate Trade Data

January 2024 Aggregate Trade Data

December 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 Member FINRA and SIPC