Level ATS | Alternative Trading System

July 2022 Monthly Aggregate Trading Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 58.23%
EMM 21.14%
Agency Algo/SOR 16.82%
LT-PROP 3.11%
S/Access 0.40%
ECN/EXCH 0.24%
HT: Agency 0.07%
HT-Prop 0.00%

Spread Execution Metrics

At Bid/Ask 40.35%
Inside NBBO excluding Midpoint 11.12%
At Midpoint 48.53%

Average Executed Notional Block Data

>$200K 4.45%
$100K - $200K 2.80%

Platform Latency

p-Value Microseconds
p0 16
p25 22
p50 23
p75 36
p90 201
p95 353
p99 912

Conditional Order Statistics

  • Median response time 2.609 milliseconds
  • Average firm-up rate (orders) 82.74%
  • Conditional percentage of ADV 5.04%

VWAP Order Statistics

  • VWAP Block ADV 4,874,176
  • VWAP Block Unique Symbols Traded 3,200
  • VWAP Slice ADV 12,054,241
  • VWAP Slice Unique Symbols Traded 3,245

VWAP Executed Volume by Market Cap

Large Cap 56.90%
Mid Cap 29.34%
Small Cap 13.76%

VWAP Executed Symbols by Market Cap

Large Cap 837
Mid Cap 1,163
Small Cap 1,614

VWAP Volume Breakdown

Open to Counterparty28.90%
Open Only to Self-Match71.10%

Contra Matched0%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 8.73%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 - 499 84 64.62%
500 - 999 632 10.97%
1,000 - 1,999 1,266 8.57%
2,000 - 4,999 2,852 7.34%
5,000 - 9,999 6,549 3.45%
≥ 10,000 20,745 5.05%

Trade BasketAvg Trade SizeVolume
All 126 100.00%
≥ 500 1,288 35.38%
≥ 1,000 2,414 24.41%
≥ 2,000 4,376 15.84%
≥ 5,000 11,034 8.50%
≥ 10,000 20,745 5.05%





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