June 2020 Monthly Aggregate Trading Data
Event Type:
Product Showcase
Start:
August 5, 2020
End:
August 1, 2021
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
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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