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

May 2021 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 51.83%
EMM 20.59%
Agency Algo/SOR 20.55%
LT-PROP 6.50%
S/Access 0.34%
ECN/EXCH 0.18%
HT-PROP 0.01%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 48.00%
Inside NBBO excluding Midpoint 10.51%
At Midpoint 41.49%

Average Notional Block Data

>$200K 5.38%
$100K - $200K 3.13%

Conditional Order Statistics

  • Median response time almost unchanged at 1.808 milliseconds

  • Average firm-up rate 82.75%

  • Median time on the book for firm-up before cancel at 506 milliseconds

  • Conditional percentage of ADV 5.64%

Odd Lot Statistics

  • Odd Lot percentage of ADV 1.67%

    Platform Latency

    p-Value Microseconds
    p0 16
    p25 22
    p50 23
    p75 32
    p90 104
    p95 256
    p99 957

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