OCTOBER 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D57.70%
EMM23.76%
Agency Algo/SOR15.08%
LT-PROP2.89%
S/Access0.26%
ECN/EXCH0.22%
HT: Agency0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask43.18%
Inside NBBO excluding Midpoint12.52%
At Midpoint*44.32%

Average Executed Notional Block Data

>$200K5.25%
$100K – $200K3.36%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5024
p7566
p90279
p95444
p991,091

Conditional Order Statistics

  • Median response time 2.393 milliseconds
  • Average firm-up rate (orders) 79.91%
  • Conditional percentage of ADV 6.17%

VWAP Order Statistics

  • VWAP Block ADV 5,075,622
  • VWAP Block Unique Symbols Traded 3,250
  • VWAP Slice ADV 15,242,539
  • VWAP Slice Unique Symbols Traded 3,118

VWAP Executed Volume by Market Cap

Large Cap58.71%
Mid Cap29.35%
Small Cap11.94%

VWAP Executed Symbols by Market Cap

Large Cap791
Mid Cap1,157
Small Cap1,568

VWAP Volume Breakdown

Open to Counterparty0.04%
Open Only to Self-Match99.96%
Contra Matched0%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 8.81%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998463.46%
500 – 99963611.12%
1,000 – 1,9991,2619.51%
2,000 – 4,9992,8718.44%
5,000 – 9,9996,3793.42%
= 10,00019,6524.04%
Trade BasketAvg Trade SizeVolume
All127100.00%
= 5001,27336.54%
= 1,0002,26425.42%
= 2,0004,32015.91%
= 5,00010,0577.47%
= 10,00019,6524.04%

Archives

April 2024 Aggregate Trade

March 2024 Aggregate Trade Data

February 2024 Aggregate Trade Data

January 2024 Aggregate Trade Data

December 2023 Aggregate Trade Data

November 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