Newsletters


12/07/2020
 
Posted By: Chiara Sarata

DECEMBER 2020
NEWSLETTER

NOVEMBER 2020 HIGHLIGHTS

  • Market Share .68%
  • 55% of Average Daily Executed Volume was in the Small and Mid-Cap Space
  • 41% of ADV Executed at the Midpoint
  • LeveL ATS saw an average 7.02 Million shares executed Conditionally
  • Average Conditional Order Size: 8,290 shares
  • Average Conditional Order Execution Size: 623 shares
  • Median Conditional Response time: 1.765 milliseconds

Regards,
Steve
NOVEMBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 153 Million
LeveL Market Share .68%
Average Trade Size (shares) 186
Average Resting Order share size 558
Average IOC Order share Size 418
Executions at Midpoint (shares) 41%
Average Number of Symbols Matched Daily 5,710


EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 17.76%
Health Care 15.16%
Consumer Discretionary 12.17%
Financials 9.90%
Information Technology 9.41%
Energy
8.72%
Industrials 8.44%
Communication Services 5.45%
Materials 4.92%
Real Estate 3.60%
Consumer Staples 2.73%
Utilities 1.41%
Closed End & Trusts .33%

EXECUTED VOLUME BY TRADE SIZE

5,000 + Shares 10%
1,000 - 4,999 Shares 16%
500 - 999 Shares 12%
100 - 499 Shares 62%


CONDITIONAL EXECUTIONS BY TRADE SIZE





AVERAGE CONDITIONAL TRADE SIZE BY MARKET CAP






MATCHED SHARES BY MARKET CAP







*Definition of terms and additional disclosures click here
To view our monthly Aggregate Data Page, which includes additional platform data, click here

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