Newsletters


01/05/2022
 
Posted By: Chiara Sarata

January 2022
NEWSLETTER

DECEMBER 2021 HIGHLIGHTS

  • LeveL ATS Market Share .63%
  • 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 2,233,814 | VWAP Slice 73,974
  • VWAP Unique Symbol Count: 2,698
  • Conditional Executions made up 7.04% of Total ADV
  • LeveL ATS saw an average 9.67 million shares executed Conditionally
  • Average Conditional Order Size: 5,775 shares
  • Average Conditional Order Execution Size: 460 shares
Regards, Steve
DECEMBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 137.4 Million
LeveL Market Share .63%
Average Trade Size (shares) 150
Average Resting Order share size 639
Average IOC Order share Size 375
Executions at Midpoint (shares) 43%
Average Number of Symbols Matched Daily 6,751


EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 26.94%
Health Care 13.50%
Information Technology 11.07%
Financials 10.67%
Consumer Discretionary 9.62%
Industrials
6.19%
Energy 5.38%
Communication Services 5.33%
Materials 4.32%
Consumer Staples 2.58%
Real Estate 2.52%
Utilities 1.39%
Closed End & Trusts .49%

EXECUTED VOLUME BY TRADE SIZE

5,000 + Shares 8%
1,000 - 4,999 Shares 17%
500 - 999 Shares 11%
1 - 499 Shares 64%

MATCHED SHARES BY MARKET CAP

Large Cap 44%
Mid Cap 25%
Small Cap 31%


CONDITIONAL EXECUTIONS BY TRADE SIZE








AVERAGE CONDITIONAL TRADE SIZE BY MARKET CAP









VWAP MONTHLY ADV










*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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