Level ATS | Alternative Trading System
October 2020 Monthly Aggregate Trading Data
Event Type:
Product Showcase
December 7, 2020
December 1, 2021
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

October 2020 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.72%
Agency Algo/SOR 19.95%
EMM 18.86%
LT-PROP 6.84%
S/Access 0.37%
ECN/EXCH 0.23%
HT-PROP 0.01%
HT: Agency 0.01%

Spread Execution Metrics

At Bid/Ask 47.64%
Inside NBBO excluding Midpoint 10.78%
At Midpoint 41.58%

Average Notional Block Data

>$200K 4.02%
$100K - $200K 2.75%

Conditional Order Statistics

  • Median response time almost unchanged at 1.785 milliseconds

  • Average firm-up rate 81%

  • Median time on the book for firm-up before cancel at 743 milliseconds

  • Conditional percentage of ADV: 4.19%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 23
p75 33
p90 108
p95 261
p99 869

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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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