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

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
Definition of terms and additional disclosures click here
 
For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading, LLC Member FINRA and SIPC