Level ATS | Alternative Trading System
September 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
November 3, 2021
October 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

September 2021 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.03%
EMM 21.48%
Agency Algo/SOR 19.33%
LT-PROP 5.45%
S/Access 0.40%
ECN/EXCH 0.31%
HT-PROP 0.00%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 45.81%
Inside NBBO excluding Midpoint 11.57%
At Midpoint 42.62%

Average Notional Block Data

>$200K 5.19%
$100K - $200K 3.28%

Platform Latency

p-Value Microseconds
p0 16
p25 22
p50 23
p75 37
p90 110
p95 283
p99 1,023

Conditional Order Statistics

  • Median response time 1.41 milliseconds
  • Average firm-up rate 80.38%
  • Conditional percentage of ADV 6.01%

VWAP Order Statistics

  • VWAP Block ADV 927,944
  • VWAP Block Unique Symbols Traded 2,093
  • VWAP Slice ADV 6,962
  • VWAP Slice Unique Symbols Traded 65

VWAP Executed Volume by Market Cap

Large Cap 61.00%
Mid Cap 24.11%
Small Cap 14.89%

VWAP Executed symbols by Market Cap

Large Cap 786
Mid Cap 886
Small Cap 432

Odd Lot Statistics

  • Odd Lot percentage of ADV 2.22%

*Definition of terms and additional disclosures click here

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To view our archive Aggregate Data, click here.

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