September 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
Spread Execution Metrics
|Inside NBBO excluding Midpoint||10.54%|
Average Notional Block Data
|$100K - $200K||2.88%|
Conditional Order Statistics
- Median response time almost unchanged at 1.627 milliseconds
- Average firm-up rate 82%
- Median time on the book for firm-up before cancel at 1,145 milliseconds
- Conditional percentage of ADV: 3.73%
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