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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