September 2021 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
|
Segment Breakdown |
|---|
|
B/D |
53.03% |
|
EMM |
21.48% |
|
Agency Algo/SOR |
19.33% |
|
LT-PROP |
5.45% |
|
S/Access |
0.40% |
|
ECN/EXCH |
0.31% |
|
HT-PROP |
0.00% |
|
HT: Agency |
0.00% |
Spread Execution Metrics
|
At Bid/Ask |
45.81% |
|
Inside NBBO excluding Midpoint |
11.57% |
|
At Midpoint |
42.62% |
Average Notional Block Data
| >$200K |
5.19% |
|
$100K - $200K |
3.28% |
Platform Latency
|
p-Value |
Microseconds |
|---|
|
p0 |
16 |
|
p25 |
22 |
|
p50 |
23 |
|
p75 |
37 |
|
p90 |
110 |
|
p95 |
283 |
|
p99 |
1,023 |
Conditional Order Statistics
- Median response time 1.41 milliseconds
- Average firm-up rate 80.38%
- Conditional percentage of ADV 6.01%
VWAP Order Statistics
- VWAP Block ADV 927,944
- VWAP Block Unique Symbols Traded 2,093
- VWAP Slice ADV 6,962
- VWAP Slice Unique Symbols Traded 65
VWAP Executed Volume by Market Cap
|
Large Cap |
61.00% |
|
Mid Cap |
24.11% |
|
Small Cap |
14.89% |
VWAP Executed symbols by Market Cap
|
Large Cap |
786 |
|
Mid Cap |
886 |
|
Small Cap |
432 |
Odd Lot Statistics
- Odd Lot percentage of ADV 2.22%
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