May 2021 Monthly Aggregate Trading Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 51.83%
EMM 20.59%
Agency Algo/SOR 20.55%
LT-PROP 6.50%
S/Access 0.34%
ECN/EXCH 0.18%
HT-PROP 0.01%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 48.00%
Inside NBBO excluding Midpoint 10.51%
At Midpoint 41.49%

Average Notional Block Data

>$200K 5.38%
$100K - $200K 3.13%

Conditional Order Statistics

  • Median response time almost unchanged at 1.808 milliseconds

  • Average firm-up rate 82.75%

  • Median time on the book for firm-up before cancel at 506 milliseconds

  • Conditional percentage of ADV 5.64%

Odd Lot Statistics

  • Odd Lot percentage of ADV 1.67%


    • Platform Latency

      p-Value Microseconds
      p0 16
      p25 22
      p50 23
      p75 32
      p90 104
      p95 256
      p99 957


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