Level ATS | Alternative Trading System
August 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
September 14, 2021
September 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

August 2021 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.58%
EMM 21.07%
Agency Algo/SOR 19.03%
LT-PROP 5.75%
S/Access 0.36%
ECN/EXCH 0.21%
HT-PROP 0.00%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 43.67%
Inside NBBO excluding Midpoint 12.56%
At Midpoint 43.77%

Average Notional Block Data

>$200K 5.34%
$100K - $200K 3.45%

Conditional Order Statistics

  • Median response time 3.77 milliseconds

  • Average firm-up rate 85.58%

  • Conditional percentage of ADV 6.94%

VWAP Order Statistics

  • VWAP Block ADV: 623,194

  • VWAP Block Unique Symbols Traded: 1,848

  • VWAP Slice ADV: 4,440

  • VWAP Slice Unique Symbols Traded: 37

Odd Lot Statistics

  • Odd Lot percentage of ADV 2.06%

Platform Latency

p-Value Microseconds
p0 16
p25 22
p50 23
p75 27
p90 87
p95 112
p99 546

*Definition of terms and additional disclosures click here

To view our monthly Newsletter, which includes additional aggregate platform data, click here.

To view our archive Aggregate Data, click here.

For Broker Dealer Use Only - Not For Use With the Public - eBX LLC Member FINRA and SIPC
Go Back to Events Schedule...
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.
© LeveL ATS. All Rights Reserved