January 2022 - Monthly Aggregate Trading Data
Event Type:
Product Showcase
Start:
March 1, 2022
End:
January 1, 2023 @ 1:30 am
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
January 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 51.43% |
| EMM | 24.46% |
| Agency Algo/SOR | 18.49% |
| LT-PROP | 4.85% |
| S/Access | 0.37% |
| ECN/EXCH | 0.33% |
| HT: Agency | 0.08% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 48.44% |
| Inside NBBO excluding Midpoint | 12.17% |
| At Midpoint | 39.41% |
Average Executed Notional Block Data
| >$200K | 5.83% |
| $100K - $200K | 3.73% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 27 |
| p75 | 97 |
| p90 | 334 |
| p95 | 566 |
| p99 | 1,407 |
Conditional Order Statistics
- Median response time 2.265 milliseconds
- Average firm-up rate 81.89%
- Conditional percentage of ADV 7.05%
VWAP Order Statistics
- VWAP Block ADV 3,473,252
- VWAP Block Unique Symbols Traded 2,604
- VWAP Slice ADV 187,273
- VWAP Slice Unique Symbols Traded 672
VWAP Executed Volume by Market Cap
| Large Cap | 56.88% |
| Mid Cap | 32.83% |
| Small Cap | 10.29% |
VWAP Executed symbols by Market Cap
| Large Cap | 828 |
| Mid Cap | 1,062 |
| Small Cap | 742 |
Odd Lot Statistics
- Odd Lot percentage of ADV 4.56%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 - 499 | 97 | 64.00% |
| 500 - 999 | 631 | 11.34% |
| 1,000 - 1,999 | 1,256 | 8.74% |
| 2,000 - 4,999 | 2,837 | 7.53% |
| 5,000 - 9,999 | 6,492 | 3.88% |
| ≥ 10,000 | 20,646 | 4.50% |
| Trade Basket | Avg Trade Size | Volume |
| All | 146 | 100.00% |
| ≥ 500 | 1,267 | 36.00% |
| ≥ 1,000 | 2,364 | 24.65% |
| ≥ 2,000 | 4,586 | 15.92% |
| ≥ 5,000 | 10,276 | 8.39% |
| ≥ 10,000 | 20,646 | 4.50% |
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