SEPTEMBER 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D60.42%
EMM22.60%
Agency Algo/SOR14.44%
LT-PROP2.08%
S/Access0.19%
ECN/EXCH0.17%
HT: Agency0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask45.90%
Inside NBBO excluding Midpoint11.68%
At Midpoint*42.44%

Average Executed Notional Block Data

>$200K3.48%
$100K – $200K2.39%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7525
p9082
p95258
p99658

Conditional Order Statistics

  • Median response time 1.207 milliseconds
  • Average firm-up rate (orders) 87.44%
  • Conditional percentage of ADV 4.39%

VWAP Order Statistics

  • VWAP Block ADV 5,888,391
  • VWAP Block Unique Symbols Traded 3,525
  • VWAP Slice ADV 23,049,709
  • VWAP Slice Unique Symbols Traded 3,356

VWAP Executed Volume by Market Cap

Large Cap52.91%
Mid Cap30.75%
Small Cap16.34%

VWAP Executed Symbols by Market Cap

Large Cap842
Mid Cap1,119
Small Cap1,902

VWAP Volume Breakdown

Open to Counterparty5.05%
Open Only to Self-Match94.95%
Contra Matched0.03%
Self-Matched99.97%

Odd Lot Statistics

  • Odd Lot percentage of ADV 15.08

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4996270.53%
500 – 9996349.89%
1,000 – 1,9991,2467.74%
2,000 – 4,9992,8405.81%
5,000 – 9,9996,3822.65%
≥ 10,00021,3503.38%
Trade BasketAvg Trade SizeVolume
All86100.00%
≥ 5001,20629.47%
≥ 1,0002,21619.58%
≥ 2,0004,52011.84%
≥ 5,00010,0576.03%
≥ 10,00021,3503.38%

Archives

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

October 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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