November 2019 Aggregate Data
Event Type:
Product Showcase
Start:
December 16, 2019
End:
December 1, 2020
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.

November 2019 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.07%
Agency Algo/SOR 21.67%
EMM 17.30%
LT-PROP 7.43%
S/Access 0.32%
ECN/EXCH 0.16%
HT Agency 0.03%
HT-PROP 0.02%

Spread Execution Metrics

At Bid/Ask 39.80%
Inside NBBO excluding Midpoint 8.92%
At Midpoint 51.28%

Average Notional Block Data

>$200K 4.92%
$100K - $200K 3.53%

Conditional Order Statistics

  • Median response time almost unchanged at 3.673 milliseconds

  • Median time on the book for firm-up before cancel at 1,063 milliseconds

  • Conditional percentage of ADV: 2.88%

Platform Latencies (October 2019)

p-Value Microseconds
p0 15
p25 20
p50 21
p75 25
p90 95
p95 175
p99 526

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