November 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D63.80%
EMM20.38%
Agency Algo/SOR13.37%
LT-PROP2.09%
ECN/EXCH0.16%
HT: Agency0.10%
S/Access0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask40.11%
Inside NBBO excluding Midpoint10.39%
At Midpoint*49.50%

Average Executed Notional Block Data

>$200K5.04%
$100K – $200K2.57%

Platform Latency

p-ValueMicroseconds
p012
p2520
p5021
p7523
p9028
p9542
p99261

Conditional Order Statistics

  • Median response time 1.144 milliseconds
  • Average firm-up rate (orders) 84.84%
  • Conditional percentage of ADV 6.14%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 8,084,374
  • VWAP Block Unique Symbols Traded: 3,464
  • VWAP Slice ADV (shares): 22,584,472
  • VWAP Slice Unique Symbols Traded: 3,215

VWAP Executed Volume by Market Cap

Large Cap55.70%
Mid Cap30.11%
Small Cap14.19%

VWAP Executed Symbols by Market Cap

Large Cap848
Mid Cap1,127
Small Cap1,762

VWAP INFLOW Breakdown

Open to Counterparty51.27%
Open Only to Self-Match48.73%
Contra Matched5.54%
Self-Matched94.46%

Odd lot Statistics

  • Odd Lot percentage of ADV 17.35

Average Trade Size

  • 66 shares

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4994870.80%
500 – 9996379.52%
1,000 – 1,9991,2607.12%
2,000 – 4,9992,8595.41%
5,000 – 9,9996,4812.83%
≥ 10,00023,3084.33%
Trade BasketAvg Trade SizeVolume
All66100.00%
≥ 5001,26429.20%
≥ 1,0002,41219.68%
≥ 2,0004,99812.57%
≥ 5,00011,5107.16%
≥ 10,00023,3084.33%

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
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