November 2020 Monthly Aggregate Trading Data
Event Type:
Product Showcase
Start:
November 1, 2020
End:
November 1, 2020
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
November 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 55.22% |
| Agency Algo/SOR | 19.68% |
| EMM | 17.69% |
| LT-PROP | 6.66% |
| S/Access | 0.44% |
| ECN/EXCH | 0.26% |
| HT Agency | 0.03% |
| HT-PROP | 0.01% |
Spread Execution Metrics
| At Bid/Ask | 46.54% |
| Inside NBBO excluding Midpoint | 12.04% |
| At Midpoint | 41.42% |
Average Notional Block Data
| >$200K | 4.33% |
| $100K - $200K | 2.70% |
Conditional Order Statistics
- Median response time almost unchanged at 1.765 milliseconds
- Average firm-up rate 81%
- Median time on the book for firm-up before cancel at 1,043 milliseconds
- Conditional percentage of ADV: 4.58%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 17 |
| p25 | 22 |
| p50 | 23 |
| p75 | 31 |
| p90 | 103 |
| p95 | 213 |
| p99 | 723 |
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