July 2020 Monthly Aggregate Trading Data
Event Type:
Product Showcase
Start:
September 4, 2020
End:
September 1, 2021
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
July 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 53.70% |
| Agency Algo/SOR | 19.68% |
| EMM | 18.52% |
| LT-PROP | 7.37% |
| S/Access | 0.45% |
| ECN/EXCH | 0.27% |
| HT Agency | 0.01% |
| HT-PROP | 0.01% |
Spread Execution Metrics
| At Bid/Ask | 48.80% |
| Inside NBBO excluding Midpoint | 10.23% |
| At Midpoint | 39.97% |
Average Notional Block Data
| >$200K | 3.55% |
| $100K - $200K | 2.88% |
Conditional Order Statistics
- Median response time almost unchanged at 1.697 milliseconds
- Average firm-up rate 83%
- Median time on the book for firm-up before cancel at 1,217 milliseconds
- Conditional percentage of ADV: 3.64%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 23 |
| p75 | 30 |
| p90 | 103 |
| p95 | 207 |
| p99 | 568 |
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