Level ATS | Alternative Trading System
June 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
June 3, 2021
June 1, 2023
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

June 2021 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.25%
Agency Algo/SOR 20.93%
EMM 20.38%
LT-PROP 5.72%
S/Access 0.48%
ECN/EXCH 0.21%
HT-PROP 0.02%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 45.41%
Inside NBBO excluding Midpoint 10.77%
At Midpoint 43.82%

Average Notional Block Data

>$200K 5.09%
$100K - $200K 3.08%

Conditional Order Statistics

  • Median response time 1.796 milliseconds

  • Average firm-up rate 81.59%

  • Median time on the book for firm-up before cancel at 433 milliseconds

  • Conditional percentage of ADV 5.85%

Odd Lot Statistics

  • Odd Lot percentage of ADV 1.95%

    Platform Latency

    p-Value Microseconds
    p0 16
    p25 22
    p50 23
    p75 27
    p90 88
    p95 119
    p99 633

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