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MONTHLY AVERAGES
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Daily Executed Volume (*shares)
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134 Million
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LeveL Market Share
|
.63%
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Average Trade Size (shares)
|
121
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Average Resting Order share size
|
623
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Average IOC Order share Size
|
435
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VWAP ADV Executed - Block
|
3,899,173
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VWAP ADV Executed - Slice
|
13,541,023
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Executions at Midpoint* (shares)
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43%
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Average Number of Symbols Matched Daily
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6,722
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EXECUTED VOLUME BY MARKET SECTOR
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ETF & ETN
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23.86%
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|
Consumer Discretionary
|
12.61%
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Information Technology
|
12.30%
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|
Health Care
|
11.80%
|
|
Financials
|
8.77%
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Communication Services
|
6.98%
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|
Industrials
|
6.11%
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Energy
|
5.68%
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|
Materials
|
3.96%
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Real Estate
|
2.93%
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Consumer Staples
|
2.89%
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Utilities
|
1.43%
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Closed End & Trusts
|
.66%
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EXECUTED VOLUME BY TRADE SIZE
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5,000 + Shares
|
7%
|
|
1,000 - 4,999 Shares
|
16%
|
|
500 - 999 Shares
|
11%
|
|
1 - 499 Shares
|
66%
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MATCHED SHARES BY MARKET CAP
|
Large Cap
|
44%
|
|
Mid Cap
|
26%
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|
Small Cap
|
30%
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|
|
VWAP MONTHLY ADV
AVERAGE CONDITIONAL TRADE SIZE BY MARKET CAP
CONDITIONAL EXECUTIONS BY TRADE SIZE
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|
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*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
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