August 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 53.81% |
| Agency Algo/SOR | 20.19% |
| EMM | 18.03% |
| LT-PROP | 7.19% |
| S/Access | 0.50% |
| ECN/EXCH | 0.25% |
| HT Agency | 0.02% |
| HT-PROP | 0.01% |
Spread Execution Metrics
| At Bid/Ask | 49.89% |
| Inside NBBO excluding Midpoint | 9.85% |
| At Midpoint | 40.26% |
Average Notional Block Data
| >$200K | 3.87% |
| $100K - $200K | 2.80% |
Conditional Order Statistics
- Median response time almost unchanged at 1.638 milliseconds
- Average firm-up rate 83%
- Median time on the book for firm-up before cancel at 1,370 milliseconds
- Conditional percentage of ADV: 4.13%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 17 |
| p25 | 22 |
| p50 | 23 |
| p75 | 26 |
| p90 | 82 |
| p95 | 109 |
| p99 | 419 |
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