Level ATS | Alternative Trading System

Newsletters


12/06/2021
 
Posted By: Chiara Sarata

December 2021
NEWSLETTER

NOVEMBER 2021 HIGHLIGHTS

  • VWAP Crossing increased 70% in November month-over-month
  • LeveL ATS Market Share .65%
  • 56% of Average Daily Executed Volume was in the Small and Mid-Cap Space
  • 43% of ADV Executed at the Midpoint
  • VWAP Average Daily Executed Volume: VWAP Block 1,691,252 | VWAP Slice 81,507
  • VWAP Unique Symbol Count 2,426
  • Conditional Executions made up 7.23% of Total ADV
  • LeveL ATS saw an average 10.4 million shares executed Conditionally
  • Average Conditional Order Size: 9,719 shares
  • Average Conditional Order Execution Size: 478 shares
Regards, Steve
NOVEMBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 143.9 Million
LeveL Market Share .65%
Average Trade Size (shares) 154
Average Resting Order share size 805
Average IOC Order share Size 401
Executions at Midpoint (shares) 43%
Average Number of Symbols Matched Daily 6,622


EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 22.12%
Health Care 13.63%
Information Technology 11.49%
Financials 11.16%
Consumer Discretionary 10.82%
Industrials
6.88%
Energy 6.19%
Communication Services 5.33%
Materials 4.57%
Consumer Staples 3.14%
Real Estate 2.74%
Utilities 1.52%
Closed End & Trusts .41%

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).
For Broker Dealer Use Only - Not For Use With the Public - eBX LLC Member FINRA and SIPC

LeveL ATS is an SEC-registered Alternative Trading System owned and operated by Luminex Trading & Analytics LLC, Member FINRA/SIPC. A copy of the Luminex Trading & Analytics LLC Business Continuity Plan Customer Disclosure Statement is available here.
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