August 2022 - Monthly Aggregate Data
Event Type:
Product Showcase
Start:
October 4, 2022
End:
October 1, 2023
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
August 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 59.55% |
| EMM | 20.73% |
| Agency Algo/SOR | 16.04% |
| LT-PROP | 2.89% |
| S/Access | 0.40% |
| ECN/EXCH | 0.28% |
| HT: Agency | 0.10% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 43.46% |
| Inside NBBO excluding Midpoint | 10.80% |
| At Midpoint* | 45.75% |
Average Executed Notional Block Data
| >$200K | 3.91% |
| $100K - $200K | 2.88% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 23 |
| p75 | 29 |
| p90 | 124 |
| p95 | 277 |
| p99 | 739 |
Conditional Order Statistics
- Median response time 2.496 milliseconds
- Average firm-up rate (orders) 82.83%
- Conditional percentage of ADV 5.36%
VWAP Order Statistics
- VWAP Block ADV 4,752,350
- VWAP Block Unique Symbols Traded 3,288
- VWAP Slice ADV 11,941,562
- VWAP Slice Unique Symbols Traded 3,230
VWAP Executed Volume by Market Cap
| Large Cap | 51.40% |
| Mid Cap | 31.98% |
| Small Cap | 16.62% |
VWAP Executed Symbols by Market Cap
| Large Cap | 818 |
| Mid Cap | 1,150 |
| Small Cap | 1,642 |
VWAP Volume Breakdown
| Open to Counterparty | 0.12% |
| Open Only to Self-Match | 99.88% |
| Contra Matched | 0% |
| Self-Matched | 100% |
Odd Lot Statistics
- Odd Lot percentage of ADV 8.94%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 - 499 | 83 | 66.80% |
| 500 - 999 | 630 | 11.18% |
| 1,000 - 1,999 | 1,248 | 8.71% |
| 2,000 - 4,999 | 2,812 | 6.82% |
| 5,000 - 9,999 | 6,473 | 3.05% |
| ≥ 10,000 | 19,117 | 3.45% |
| Trade Basket | Avg Trade Size | Volume |
| All | 120 | 100.00% |
| ≥ 500 | 1,195 | 33.20% |
| ≥ 1,000 | 2,190 | 22.02% |
| ≥ 2,000 | 4,329 | 13.32% |
| ≥ 5,000 | 9,981 | 6.50% |
| ≥ 10,000 | 19,117 | 3.45% |
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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