Newsletters


12/06/2019
 
Posted By: Chiara Sarata

DECEMBER 2019
NEWSLETTER

NOVEMBER 2019 HIGHLIGHTS

  • Market Share: .81%
  • 51% of ADV Executed at the Midpoint
  • 56% of Average Daily Executed Volume was in the Small and Mid-Cap Space
  • LeveL ATS saw an average 3.2 Million shares executed Conditionally
  • Average Conditional Order Size: 8,041 shares
  • Average Conditional Order Execution Size: 1,589 shares
  • Median Conditional Response time: 3.673 milliseconds

Regards,
Steve
NOVEMBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 111.23 Million
LeveL Market Share .81%
Average Trade Size (shares) 185
Average Resting Order share size 617
Average IOC Order share Size 396
Executions at Midpoint (shares) 51%
Average Number of Symbols Matched Daily 4,843

EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 16.71%
Energy 12.62%
Health Care 12.50%
Information Technology 11.41%
Consumer Discretionary 10.52%
Financials
8.30%
Communication Services 7.25%
Industrials 6.23%
Materials 5.28%
Real Estate 3.30%
Consumer Staples 3.02%
Utilities 2.16%
Closed End & Trusts .70%

EXECUTED VOLUME BY TRADE SIZE

5,000 + Shares 7%
1,000 - 4,999 Shares 16%
500 - 999 Shares 14%
100 - 499 Shares 63%

CONDITIONAL EXECUTIONS BY TRADE BASKET







AVERAGE CONDITIONAL TRADE SIZE BY MARKET CAP






MATCHED SHARES BY MARKET CAP






* Figures are double-counted to include all volume traded on LeveL ATS (i.e., both sides of the transaction).
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