September 2020 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.75%
Agency Algo/SOR 19.71%
EMM18.33%
LT-PROP 7.43%
S/Access0.56%
ECN/EXCH 0.20%
HT-PROP 0.01%
HT: Agency 0.01%

Spread Execution Metrics

At Bid/Ask 47.47%
Inside NBBO excluding Midpoint 10.54%
At Midpoint41.99%

Average Notional Block Data

>$200K 3.70%
$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%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 24
p7539
p90 117
p95 280
p99 721


*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