November 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
Start:
December 6, 2021
End:
December 1, 2022
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
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%
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