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

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