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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