Level ATS | Alternative Trading System
November 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
December 6, 2021
December 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
This event is currently full.

November 2021 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.58%
EMM 22.28%
Agency Algo/SOR 19.39%
LT-PROP 5.06%
S/Access 0.29%
ECN/EXCH 0.25%
HT: Agency 0.15%
HT-Prop 0.00%

Spread Execution Metrics

At Bid/Ask 43.93%
Inside NBBO excluding Midpoint 12.73%
At Midpoint 43.36%

Average Executed Notional Block Data

>$200K 5.64%
$100K - $200K 3.53%

Platform Latency

p-Value Microseconds
p0 16
p25 22
p50 23
p75 32
p90 101
p95 204
p99 861

Conditional Order Statistics

  • Median response time 2.821 milliseconds
  • Average firm-up rate 81.43%
  • Conditional percentage of ADV 7.23%

VWAP Order Statistics

  • VWAP Block ADV 1,691,252
  • VWAP Block Unique Symbols Traded 2,377
  • VWAP Slice ADV 81,507
  • VWAP Slice Unique Symbols Traded 423

VWAP Executed Volume by Market Cap

Large Cap 56.68%
Mid Cap 31.32%
Small Cap 12.01%

VWAP Executed symbols by Market Cap

Large Cap 820
Mid Cap 1,000
Small Cap 606

Odd Lot Statistics

  • Odd Lot percentage of ADV 3.47%

*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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