Level ATS | Alternative Trading System
November 2020 Monthly Aggregate Trading Data
Event Type:
Product Showcase
November 1, 2020
November 1, 2020
Event Location:
Main Office
101 Federal Street Suite 1010
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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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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