March 2024 MONTHLY AGGREGATE TRADING DATA
MARCH 2024 Monthly Aggregate Trading DatA
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 65.72% |
| EMM | 19.16% |
| Agency Algo/SOR | 12.59% |
| LT-PROP | 2.18% |
| ECN/EXCH | 0.14% |
| HT: Agency | 0.10% |
| S/Access | 0.10% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 38.25% |
| Inside NBBO excluding Midpoint | 10.89% |
| At Midpoint* | 50.87% |
Average Executed Notional Block Data
| >$200K | 5.59% |
| $100K – $200K | 2.80% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 15 |
| p50 | 16 |
| p75 | 17 |
| p90 | 19 |
| p95 | 22 |
| p99 | 32 |
Conditional Order Statistics
- Median response time: 1.049 milliseconds
- Average firm-up rate (orders): 82.88%
- Conditional percentage of ADV: 5.87%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 10,986,852
- VWAP Block Unique Symbols Traded: 3,543
- VWAP Slice ADV (shares): 22,523,424
- VWAP Slice Unique Symbols Traded: 3,302
VWAP Order Time Percentage
| 1 min – 1 max | 78.20% |
| 5 min – 5 max | 8.04% |
| 5 min – 60 max | 1.02% |
| Other | 12.74% |
VWAP Executed Volume By Market CAP
| Large Cap | 56.73% |
| Mid Cap | 29.64% |
| Small Cap | 13.63% |
VWAP Executed Symbols by Market Cap
| Large Cap | 937 |
| Mid Cap | 1,146 |
| Small Cap | 1,710 |
VWAP INFLOW Breakdown
| Open to Counterparty | 27.58% |
| Open Only to Self-Match | 72.42% |
| Contra Matched | 1.69% |
| Self-Matched | 98.31% |
Odd lot Statistics
- Odd Lot percentage of ADV 19.49%
Average Trade Size
- 60 share
EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 42 | 70.17% |
| 500 – 999 | 633 | 9.64% |
| 1,000 – 1,999 | 1,276 | 6.91% |
| 2,000 – 4,999 | 2,823 | 5.26% |
| 5,000 – 9,999 | 6,585 | 2.87% |
| ≥ 10,000 | 21,936 | 5.14% |
| Trade Basket | Avg Trade Size | Volume |
| All | 60 | 100.00% |
| ≥ 500 | 1,286 | 29.83% |
| ≥ 1,000 | 2,540 | 20.19% |
| ≥ 2,000 | 5,238 | 13.28% |
| ≥ 5,000 | 11,950 | 8.02% |
| ≥ 10,000 | 21.,936 | 5.14% |
Archives
*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
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