May 2021 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 51.83% |
| EMM | 20.59% |
| Agency Algo/SOR | 20.55% |
| LT-PROP | 6.50% |
| S/Access | 0.34% |
| ECN/EXCH | 0.18% |
| HT-PROP | 0.01% |
| HT: Agency | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 48.00% |
| Inside NBBO excluding Midpoint | 10.51% |
| At Midpoint | 41.49% |
Average Notional Block Data
| >$200K | 5.38% |
| $100K - $200K | 3.13% |
Conditional Order Statistics
- Median response time almost unchanged at 1.808 milliseconds
- Average firm-up rate 82.75%
- Median time on the book for firm-up before cancel at 506 milliseconds
- Conditional percentage of ADV 5.64%
Odd Lot Statistics
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 23 |
| p75 | 32 |
| p90 | 104 |
| p95 | 256 |
| p99 | 957 |
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