Level ATS | Alternative Trading System

Newsletters


10/07/2022
 
Posted By: Chiara Sarata

September 2022
NEWSLETTER

September 2022 HIGHLIGHTS

  • LeveL ATS Market Share .66%
  • 57% of Average Daily Executed Volume was in the Small and Mid-Cap Space
  • 46% of ADV Executed at the Midpoint*
  • VWAP Average Daily Executed Volume: 21,008,831 shares
  • VWAP Unique Symbol Count: 3,751
  • Conditional Executions made up 5.26% of Total ADV
  • Conditional Average Daily Executed Volume: 7,868,703 shares
  • Average Conditional Order Size: 4,247 shares
  • Average Conditional Order Execution Size: 504 shares
Regards, Steve
SEPTEMBER TRADING STATISTICS

MONTHLY AVERAGES

Daily Executed Volume (*shares) 149.7 Million
LeveL Market Share .66%
Average Trade Size (shares) 120
Average Resting Order share size 648
Average IOC Order share Size 397
VWAP ADV Executed - Block 4,219,881
VWAP ADV Executed - Slice 16,788,950
Executions at Midpoint* (shares) 46%
Average Number of Symbols Matched Daily 6,518


EXECUTED VOLUME BY MARKET SECTOR

ETF & ETN 25.83%
Information Technology 11.74%
Consumer Discretionary 10.94%
Health Care 10.66%
Financials 9.38%
Industrials
6.51%
Energy 6.10%
Communication Services 5.79%
Materials 5.07%
Consumer Staples
3.00%
Real Estate
2.95%
Utilities
1.58%
Closed End & Trusts .47%

EXECUTED VOLUME BY TRADE SIZE

5,000 + Shares 7%
1,000 - 4,999 Shares 17%
500 - 999 Shares 11%
1 - 499 Shares 65%

MATCHED SHARES BY MARKET CAP

Large Cap 43%
Mid Cap 30%
Small Cap 27%

VWAP MONTHLY ADV










AVERAGE CONDITIONAL TRADE SIZE BY MARKET CAP













CONDITIONAL EXECUTIONS BY TRADE SIZE

















*VWAP volume not included in Midpoint Volume Calculation

Figures may not total to 100% due to rounding

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 investment professional or institutional investor use only. Not authorized for distribution to the public as sales material.
© 2022 Luminex Trading & Analytics LLC Member FINRA, 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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