Level ATS | Alternative Trading System
June 2020 Monthly Aggregate Trading Data
Event Type:
Product Showcase
August 5, 2020
August 1, 2021
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

June 2020 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.41%
Agency Algo/SOR 20.33%
EMM 18.19%
LT-PROP 7.25%
S/Access 0.45%
ECN/EXCH 0.31%
HT Agency 0.04%
HT-PROP 0.02%

Spread Execution Metrics

At Bid/Ask 48.39%
Inside NBBO excluding Midpoint 10.45%
At Midpoint 41.16%

Average Notional Block Data

>$200K 3.95%
$100K - $200K 2.68%

Conditional Order Statistics

  • Median response time almost unchanged at 1.692 milliseconds

  • Average firm-up rate 84%

  • Median time on the book for firm-up before cancel at 1,375 milliseconds

  • Conditional percentage of ADV: 3.79%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p75 35
p90 113
p95 288
p99 636

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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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