December 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
Start:
January 1, 2022
End:
January 1, 2023
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
December 2021 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 51.09% |
| EMM | 24.22% |
| Agency Algo/SOR | 19.11% |
| LT-PROP | 4.85% |
| S/Access | 0.34% |
| ECN/EXCH | 0.28% |
| HT: Agency | 0.11% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 44.96% |
| Inside NBBO excluding Midpoint | 12.14% |
| At Midpoint | 42.90% |
Average Executed Notional Block Data
| >$200K | 5.07% |
| $100K - $200K | 3.65% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 24 |
| p75 | 54 |
| p90 | 154 |
| p95 | 374 |
| p99 | 1,175 |
Conditional Order Statistics
- Median response time 2.060 milliseconds
- Average firm-up rate 81.55%
- Conditional percentage of ADV 7.04%
VWAP Order Statistics
- VWAP Block ADV 2,233,814
- VWAP Block Unique Symbols Traded 2,611
- VWAP Slice ADV 73,974
- VWAP Slice Unique Symbols Traded 456
VWAP Executed Volume by Market Cap
| Large Cap | 54.09% |
| Mid Cap | 31.46% |
| Small Cap | 14.44% |
VWAP Executed symbols by Market Cap
| Large Cap | 854 |
| Mid Cap | 1,086 |
| Small Cap | 758 |
Odd Lot Statistics
- Odd Lot percentage of ADV 3.95%
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