October 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
Start:
November 3, 2021
End:
November 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
October 2021 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 51.05% |
| EMM | 22.85% |
| Agency Algo/SOR | 20.28% |
| LT-PROP | 5.17% |
| S/Access | 0.32% |
| ECN/EXCH | 0.28% |
| HT: Agency | 0.04% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 45.16% |
| Inside NBBO excluding Midpoint | 12.81% |
| At Midpoint | 42.03% |
Average Notional Block Data
| >$200K | 5.10% |
| $100K - $200K | 3.34% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 23 |
| p75 | 34 |
| p90 | 103 |
| p95 | 220 |
| p99 | 921 |
Conditional Order Statistics
- Median response time 1.77 milliseconds
- Average firm-up rate 78.82%
- Conditional percentage of ADV 5.74%
VWAP Order Statistics
- VWAP Block ADV 1,018,239
- VWAP Block Unique Symbols Traded 1,861
- VWAP Slice ADV 25,641
- VWAP Slice Unique Symbols Traded 206
VWAP Executed Volume by Market Cap
| Large Cap | 61.59% |
| Mid Cap | 29.82% |
| Small Cap | 8.59% |
VWAP Executed symbols by Market Cap
| Large Cap | 800 |
| Mid Cap | 779 |
| Small Cap | 314 |
Odd Lot Statistics
- Odd Lot percentage of ADV 2.55%
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