Newsletters


01/06/2020
 
Posted By: Chiara Sarata

JANUARY 2020
NEWSLETTER

DECEMBER 2019 HIGHLIGHTS

  • Market Share: .72%
  • 50% 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 2.29 Million shares executed Conditionally
  • Average Conditional Order Size: 8,346 shares
  • Average Conditional Order Execution Size: 1,428 shares
  • Median Conditional Response time: 4.195 milliseconds

Regards,
Steve
DECEMBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 97.5 Million
LeveL Market Share .72%
Average Trade Size (shares) 184
Average Resting Order share size 602
Average IOC Order share Size 392
Executions at Midpoint (shares) 50%
Average Number of Symbols Matched Daily 4,947

EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 18.98%
Health Care 13.02%
Energy 11.72%
Information Technology 10.57%
Consumer Discretionary 9.83%
Financials
8.95%
Communication Services 6.21%
Industrials 6.09%
Materials 5.48%
Real Estate 3.49%
Consumer Staples 2.60%
Utilities 2.02%
Closed End & Trusts 1.04%

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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