September 2022 - Monthly Aggregate Data
Event Type:
Product Showcase
Start:
October 12, 2022
End:
January 1, 1900
Office Location:
Main Office
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
September 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 59.40% |
| EMM | 21.83% |
| Agency Algo/SOR | 15.18% |
| LT-PROP | 2.96% |
| S/Access | 0.31% |
| ECN/EXCH | 0.25% |
| HT: Agency | 0.08% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 43.12% |
| Inside NBBO excluding Midpoint | 10.98% |
| At Midpoint* | 45.92% |
Average Executed Notional Block Data
| >$200K | 4.59% |
| $100K - $200K | 3.25% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 24 |
| p75 | 66 |
| p90 | 260 |
| p95 | 409 |
| p99 | 1,056 |
Conditional Order Statistics
- Median response time 2.593 milliseconds
- Average firm-up rate (orders) 82.94%
- Conditional percentage of ADV 5.26%
VWAP Order Statistics
- VWAP Block ADV 4,219,881
- VWAP Block Unique Symbols Traded 3,382
- VWAP Slice ADV 16,788,950
- VWAP Slice Unique Symbols Traded 3,393
VWAP Executed Volume by Market Cap
| Large Cap | 49.89% |
| Mid Cap | 30.55% |
| Small Cap | 19.55% |
VWAP Executed Symbols by Market Cap
| Large Cap | 772 |
| Mid Cap | 1,104 |
| Small Cap | 1,875 |
VWAP Volume Breakdown
| Open to Counterparty | 0.05% |
| Open Only to Self-Match | 99.95% |
| Contra Matched | 0% |
| Self-Matched | 100% |
Odd Lot Statistics
- Odd Lot percentage of ADV 9.95%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 - 499 | 81 | 62.28% |
| 500 - 999 | 632 | 11.23% |
| 1,000 - 1,999 | 1,264 | 9.15% |
| 2,000 - 4,999 | 2,829 | 7.55% |
| 5,000 - 9,999 | 6,413 | 3.23% |
| ≥ 10,000 | 19,649 | 3.56% |
| Trade Basket | Avg Trade Size | Volume |
| All | 120 | 100.00% |
| ≥ 500 | 1,224 | 34.72% |
| ≥ 1,000 | 2,217 | 23.48% |
| ≥ 2,000 | 4,276 | 14.34% |
| ≥ 5,000 | 9,913 | 6.79% |
| ≥ 10,000 | 19,649 | 3.56% |
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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