Level ATS | Alternative Trading System
October 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
November 3, 2021
November 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
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%

*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.

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