September 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
Start:
November 3, 2021
End:
October 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
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%
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