December 2019 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.53%
Agency Algo/SOR 21.62%
EMM 17.75%
LT-PROP 7.50%
S/Access 0.30%
ECN/EXCH 0.20%
HT Agency 0.09%
HT-PROP 0.01%

Spread Execution Metrics

At Bid/Ask 41.25%
Inside NBBO excluding Midpoint 8.70%
At Midpoint 50.05%

Average Notional Block Data

>$200K 4.73%
$100K - $200K 3.58%

Conditional Order Statistics

  • Median response time almost unchanged at 4.195 milliseconds

  • Median time on the book for firm-up before cancel at 1,061 milliseconds

  • Conditional percentage of ADV: 2.29%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 22
p75 25
p9047
p95106
p99 427

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