Newsletters


09/07/2021
 
Posted By: Chiara Sarata

September 2021
NEWSLETTER

AUGUST 2021 HIGHLIGHTS

  • Market Share .67%
  • 55% of Average Daily Executed Volume was in the Small and Mid-Cap Space
  • 44% of ADV Executed at the Midpoint
  • Conditional Executions made up 6.91% of Total ADV
  • LeveL ATS saw an average 8.38 million shares executed Conditionally
  • Average Conditional Order Size: 8,705 shares
  • Average Conditional Order Execution Size: 508 shares
  • VWAP Average Daily Executed Volume: VWAP Block 623,194 | VWAP Slice 4,440
Regards,
Steve
AUGUST TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 121 Million
LeveL Market Share .67%
Average Trade Size (shares) 158
Average Resting Order share size 910
Average IOC Order share Size 361
Executions at Midpoint (shares) 44%
Average Number of Symbols Matched Daily 6,119


EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 20.10%
Health Care 13.93%
Information Technology 11.72%
Consumer Discretionary 11.69%
Financials 10.58%
Industrials
6.91%
Communication Services 6.42%
Energy 6.20%
Materials 4.73%
Consumer Staples 2.94%
Real Estate 2.84%
Utilities 1.51%
Closed End & Trusts .43%

EXECUTED VOLUME BY TRADE SIZE

5,000 + Shares 8%
1,000 - 4,999 Shares 15%
500 - 999 Shares 11%
1 - 499 Shares 66%


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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