August 2021 Monthly Aggregate Trading Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.58%
EMM 21.07%
Agency Algo/SOR 19.03%
LT-PROP 5.75%
S/Access 0.36%
ECN/EXCH 0.21%
HT-PROP 0.00%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 43.67%
Inside NBBO excluding Midpoint 12.56%
At Midpoint 43.77%

Average Notional Block Data

>$200K 5.34%
$100K - $200K 3.45%

Conditional Order Statistics

  • Median response time 3.77 milliseconds

  • Average firm-up rate 85.58%

  • Conditional percentage of ADV 6.94%


VWAP Order Statistics

  • VWAP Block ADV: 623,194

  • VWAP Block Unique Symbols Traded: 1,848

  • VWAP Slice ADV: 4,440

  • VWAP Slice Unique Symbols Traded: 37


Odd Lot Statistics

  • Odd Lot percentage of ADV 2.06%

Platform Latency

p-Value Microseconds
p0 16
p25 22
p50 23
p75 27
p90 87
p95 112
p99 546



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