February 2020 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.71%
Agency Algo/SOR 20.09%
EMM 18.46%
LT-PROP 7.91%
S/Access 0.58%
ECN/EXCH 0.21%
HT Agency 0.02%
HT-PROP 0.02%

Spread Execution Metrics

At Bid/Ask 45.20%
Inside NBBO excluding Midpoint 9.70%
At Midpoint 45.10%

Average Notional Block Data

>$200K 5.31%
$100K - $200K 3.75%

Conditional Order Statistics

  • Median response time almost unchanged at 2.183 milliseconds

  • Median time on the book for firm-up before cancel at 1,117 milliseconds

  • Conditional percentage of ADV: 2.63%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p95 313
p99 687

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