Level ATS | Alternative Trading System
September 2020 Monthly Aggregate Trading Data
Event Type:
Product Showcase
November 9, 2020
November 1, 2021
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

September 2020 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.75%
Agency Algo/SOR 19.71%
EMM 18.33%
LT-PROP 7.43%
S/Access 0.56%
ECN/EXCH 0.20%
HT-PROP 0.01%
HT: Agency 0.01%

Spread Execution Metrics

At Bid/Ask 47.47%
Inside NBBO excluding Midpoint 10.54%
At Midpoint 41.99%

Average Notional Block Data

>$200K 3.70%
$100K - $200K 2.88%

Conditional Order Statistics

  • Median response time almost unchanged at 1.627 milliseconds

  • Average firm-up rate 82%

  • Median time on the book for firm-up before cancel at 1,145 milliseconds

  • Conditional percentage of ADV: 3.73%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 24
p75 39
p90 117
p95 280
p99 721

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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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