Level ATS | Alternative Trading System
January 2021 Monthly Aggregate Trading Data
Event Type:
Product Showcase
March 2, 2021
March 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

January 2021 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 54.21%
Agency Algo/SOR 20.78%
EMM 19.72%
LT-PROP 4.71%
S/Access 0.31%
ECN/EXCH 0.26%
HT-PROP Agency 0.01%
HT: Agency 0.01%

Spread Execution Metrics

At Bid/Ask 49.50%
Inside NBBO excluding Midpoint 11.96%
At Midpoint 38.54%

Average Notional Block Data

>$200K 5.61%
$100K - $200K 2.88%

Conditional Order Statistics

  • Median response time almost unchanged at 1.618 milliseconds

  • Average firm-up rate 77.47%

  • Median time on the book for firm-up before cancel at 387 milliseconds

  • Conditional percentage of ADV 5.57%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 23
p75 28
p90 95
p95 131
p99 586

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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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