SEPTEMBER 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D59.40%
EMM21.83%
Agency Algo/SOR15.18%
LT-PROP2.96%
S/Access0.31%
ECN/EXCH0.25%
HT: Agency0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask43.12%
Inside NBBO excluding Midpoint10.98%
At Midpoint*45.92%

Average Executed Notional Block Data

>$200K4.59%
$100K – $200K3.25%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5024
p7566
p90260
p95409
p991,056

Conditional Order Statistics

  • Median response time 2.593 milliseconds
  • Average firm-up rate (orders) 82.94%
  • Conditional percentage of ADV 5.26%

VWAP Order Statistics

  • VWAP Block ADV 4,219,881
  • VWAP Block Unique Symbols Traded 3,382
  • VWAP Slice ADV 16,788,950
  • VWAP Slice Unique Symbols Traded 3,393

VWAP Executed Volume by Market Cap

Large Cap49.89%
Mid Cap30.55%
Small Cap19.55%

VWAP Executed Symbols by Market Cap

Large Cap772
Mid Cap1,104
Small Cap1,875

VWAP Volume Breakdown

Open to Counterparty0.05%
Open Only to Self-Match99.95%
Contra Matched0%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 9.95%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998162.28%
500 – 99963211.23%
1,000 – 1,9991,2649.15%
2,000 – 4,9992,8297.55%
5,000 – 9,9996,4133.23%
≥ 10,00019,6493.56%
Trade BasketAvg Trade SizeVolume
All120100.00%
≥ 5001,22434.72%
≥ 1,0002,21723.48%
≥ 2,0004,27614.34%
≥ 5,0009,9136.79%
≥ 10,00019,6493.56%

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