December 2019 Aggregate Data
Segment Concentration as a Percentage of ADV
|
Segment Breakdown |
|---|
|
B/D |
52.53% |
|
Agency Algo/SOR |
21.62% |
|
EMM |
17.75% |
|
LT-PROP |
7.50% |
|
S/Access |
0.30% |
|
ECN/EXCH |
0.20% |
|
HT Agency |
0.09% |
|
HT-PROP |
0.01% |
Spread Execution Metrics
|
At Bid/Ask |
41.25% |
|
Inside NBBO excluding Midpoint |
8.70% |
|
At Midpoint |
50.05% |
Average Notional Block Data
| >$200K |
4.73% |
|
$100K - $200K |
3.58% |
Conditional Order Statistics
- Median response time almost unchanged at 4.195 milliseconds
- Median time on the book for firm-up before cancel at 1,061 milliseconds
- Conditional percentage of ADV: 2.29%
Platform Latency
|
p-Value |
Microseconds |
|---|
|
p0 |
16 |
|
p25 |
21 |
|
p50 |
22 |
|
p75 |
25 |
|
p90 | 47 |
|
p95 | 106 |
|
p99 |
427 |
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