April 2020 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 54.15%
Agency Algo/SOR 20.40%
EMM 16.99%
LT-PROP 7.71%
S/Access 0.38%
ECN/EXCH 0.32%
HT Agency 0.03%
HT-PROP 0.02%

Spread Execution Metrics

At Bid/Ask 47.28%
Inside NBBO excluding Midpoint 11.18%
At Midpoint 41.54%

Average Notional Block Data

>$200K 3.52%
$100K - $200K 2.53%

Conditional Order Statistics

  • Median response time almost unchanged at 2.411 milliseconds

  • Average firm-up rate 83%

  • Median time on the book for firm-up before cancel at 1,073 milliseconds

  • Conditional percentage of ADV: 2.72%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p75 31
p90 103
p95 223
p99 529


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