December 2022 - Monthly Aggregate Trade Data
Event Type:
Product Showcase
Start:
February 2, 2023
End:
February 1, 2024
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
December 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 59.12% |
| EMM | 22.14% |
| Agency Algo/SOR | 15.84% |
| LT-PROP | 2.37% |
| S/Access | 0.26% |
| ECN/EXCH | 0.19% |
| HT: Agency | 0.08% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 44.52% |
| Inside NBBO excluding Midpoint | 12.15% |
| At Midpoint* | 43.35% |
Average Executed Notional Block Data
| >$200K | 4.33% |
| $100K - $200K | 2.77% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 23 |
| p75 | 39 |
| p90 | 212 |
| p95 | 356 |
| p99 | 847 |
Conditional Order Statistics
- Median response time 1.915 milliseconds
- Average firm-up rate (orders) 82.70%
- Conditional percentage of ADV 5.46%
VWAP Order Statistics
- VWAP Block ADV 3,899,173
- VWAP Block Unique Symbols Traded 3,193
- VWAP Slice ADV 13,541,023
- VWAP Slice Unique Symbols Traded 3,244
VWAP Executed Volume by Market Cap
| Large Cap | 52.77% |
| Mid Cap | 30.67% |
| Small Cap | 16.56% |
VWAP Executed Symbols by Market Cap
| Large Cap | 793 |
| Mid Cap | 1,108 |
| Small Cap | 1,706 |
VWAP Volume Breakdown
| Open to Counterparty | 0.06% |
| Open Only to Self-Match | 99.94% |
| Contra Matched | 0% |
| Self-Matched | 100% |
Odd Lot Statistics
- Odd Lot percentage of ADV 9.28%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 - 499 | 82 | 65.61% |
| 500 - 999 | 631 | 11.10% |
| 1,000 - 1,999 | 1,251 | 8.73% |
| 2,000 - 4,999 | 2,879 | 7.21% |
| 5,000 - 9,999 | 6,584 | 3.33% |
| = 10,000 | 19,189 | 4.02% |
| Trade Basket | Avg Trade Size | Volume |
| All | 121 | 100.00% |
| = 500 | 1,237 | 34.39% |
| = 1,000 | 2,284 | 23.29% |
| = 2,000 | 4,523 | 14.56% |
| = 5,000 | 10,280 | 7.35% |
| = 10,000 | 19,189 | 4.02% |
2022 Symbol Concentration
| Top 10 | 6.53% |
| Top 25% | 12.17% |
| Top 50 | 18.97% |
| Top 100 | 28.04% |
| Top 250 | 42.82% |
| Top 500 | 56.24% |
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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