Newsletters


10/13/2021
 
Posted By: Chiara Sarata

October 2021
NEWSLETTER

SEPTEMBER 2021 HIGHLIGHTS

  • Market Share .66%
  • 56% of Average Daily Executed Volume was in the Small and Mid-Cap Space
  • 43% of ADV Executed at the Midpoint
  • Conditional Executions made up 6.01% of Total ADV
  • LeveL ATS saw an average 8.29 million shares executed Conditionally
  • Average Conditional Order Size: 8,270 shares
  • Average Conditional Order Execution Size: 503 shares
  • VWAP Average Daily Executed Volume: VWAP Block 927,944 | VWAP Slice 6,962
Regards,
Steve
SEPTEMBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 138 Million
LeveL Market Share .66%
Average Trade Size (shares) 167
Average Resting Order share size 843
Average IOC Order share Size 375
Executions at Midpoint (shares) 43%
Average Number of Symbols Matched Daily 6,314


EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 20.90%
Health Care 12.08%
Consumer Discretionary 10.54%
Information Technology 10.49%
Financials 10.39%
Energy
10.14%
Industrials 6.65%
Communication Services 5.69%
Materials 4.84%
Consumer Staples 3.61%
Real Estate 2.77%
Utilities 1.42%
Closed End & Trusts .48%

EXECUTED VOLUME BY TRADE SIZE

5,000 + Shares 8%
1,000 - 4,999 Shares 16%
500 - 999 Shares 11%
1 - 499 Shares 65%


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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