MAY 2020 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.97%
Agency Algo/SOR 21.07%
EMM 16.99%
LT-PROP 8.22%
S/Access 0.47%
ECN/EXCH 0.26%
HT Agency 0.01%
HT-PROP 0.01%

Spread Execution Metrics

At Bid/Ask 45.10%
Inside NBBO excluding Midpoint 10.99%
At Midpoint 43.91%

Average Notional Block Data

>$200K 3.15%
$100K - $200K 2.47%

Conditional Order Statistics

  • Median response time almost unchanged at 1.671 milliseconds

  • Average firm-up rate 86%

  • Median time on the book for firm-up before cancel at 1,769 milliseconds

  • Conditional percentage of ADV: 3.39%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p75 31
p90 106
p95 263
p99 608


*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