Level ATS | Alternative Trading System

April 2022 Monthly Aggregate Trading Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.54%
EMM 25.36%
Agency Algo/SOR17.33%
LT-PROP 3.82%
S/Access 0.43%
ECN/EXCH 0.33%
HT: Agency 0.19%
HT-Prop 0.00%

Spread Execution Metrics

At Bid/Ask 40.48%
Inside NBBO excluding Midpoint12.53%
At Midpoint 46.99%

Average Executed Notional Block Data

>$200K 5.50%
$100K - $200K3.36%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p75 28
p90117
p95 281
p99 755

Conditional Order Statistics

  • Median response time 2.576 milliseconds
  • Average firm-up rate 79.81%
  • Conditional percentage of ADV 6.76%

VWAP Order Statistics

  • VWAP Block ADV 3,510,505
  • VWAP Block Unique Symbols Traded 2,761
  • VWAP Slice ADV 1,811,486
  • VWAP Slice Unique Symbols Traded 2,146

VWAP Executed Volume by Market Cap

Large Cap 55.13%
Mid Cap 31.81%
Small Cap13.05%

VWAP Executed symbols by Market Cap

Large Cap 815
Mid Cap 1,112
Small Cap1,123

Odd Lot Statistics

  • Odd Lot percentage of ADV 6.01%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 - 499 9265.24%
500 - 999 63410.96%
1,000 - 1,999 1,263 8.93%
2,000 - 4,999 2,8327.18%
5,000 - 9,999 6,543 3.50%
≥ 10,000 18,892 4.19%

Trade BasketAvg Trade SizeVolume
All 136 100.00%
≥ 500 1,257 34.76%
≥ 1,000 2,296 23.80%
≥ 2,000 4,517 14.87%
≥ 5,000 10,165 7.69%
≥ 10,000 18,892 4.19%




*Definition of terms and additional disclosures click here

To view our monthly Newsletter, which includes additional aggregate platform data, click here.

To view our archive Aggregate Data, click here.




For Broker Dealer Use Only - Not For Use With the Public - eBX LLC Member FINRA and SIPC
Member FINRA and SIPC
© LeveL ATS. All Rights Reserved