April 2021 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 52.02% |
| Agency Algo/SOR | 20.62% |
| EMM | 20.30% |
| LT-PROP | 6.60% |
| S/Access | 0.28% |
| ECN/EXCH | 0.17% |
| HT-PROP | 0.02% |
| HT: Agency | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 47.48% |
| Inside NBBO excluding Midpoint | 11.25% |
| At Midpoint | 41.27% |
Average Notional Block Data
| >$200K | 5.45% |
| $100K - $200K | 3.31% |
Conditional Order Statistics
- Median response time almost unchanged at 1.751 milliseconds
- Average firm-up rate 82.77%
- Median time on the book for firm-up before cancel at 440 milliseconds
- Conditional percentage of ADV 4.88%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 21 |
| p50 | 23 |
| p75 | 26 |
| p90 | 82 |
| p95 | 113 |
| p99 | 585 |
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