Level ATS | Alternative Trading System
December 2021 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
January 1, 2022
January 1, 2023
Event Location:
Main Office
101 Federal Street Suite 1010
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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To view our archive Aggregate Data, click here.

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