Newsletters


11/04/2021
 
Posted By: Chiara Sarata

November 2021
NEWSLETTER

OCTOBER 2021 HIGHLIGHTS

  • Market Share .63%
  • 57% of Average Daily Executed Volume was in the Small and Mid-Cap Space
  • 42% of ADV Executed at the Midpoint
  • VWAP Average Daily Executed Volume: VWAP Block 1,018,239 | VWAP Slice 25,641
  • VWAP Unique Symbol Count 1,893
  • Conditional Executions made up 5.74% of Total ADV
  • LeveL ATS saw an average 7.52 million shares executed Conditionally
  • Average Conditional Order Size: 8,571 shares
  • Average Conditional Order Execution Size: 536 shares
Regards,
Steve
OCTOBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 130 Million
LeveL Market Share .63%
Average Trade Size (shares) 167
Average Resting Order share size 961
Average IOC Order share Size 391
Executions at Midpoint (shares) 42%
Average Number of Symbols Matched Daily 6,305


EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 21.07%
Financials 11.80%
Information Technology 11.78%
Health Care 11.64%
Energy 10.11%
Consumer Discretionary
9.91%
Industrials 6.24%
Communication Services 5.11%
Materials 4.63%
Consumer Staples 3.41%
Real Estate 2.34%
Utilities 1.55%
Closed End & Trusts .41%

EXECUTED VOLUME BY TRADE SIZE

5,000 + Shares 8%
1,000 - 4,999 Shares 17%
500 - 999 Shares 12%
1 - 499 Shares 63%


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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