March 2021 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 49.90%
Agency Algo/SOR 22.81%
EMM 19.58%
LT-PROP 7.22%
S/Access 0.22%
ECN/EXCH 0.21%
HT-PROP 0.04%
HT: Agency 0.02%

Spread Execution Metrics

At Bid/Ask 49.41%
Inside NBBO excluding Midpoint 13.47%
At Midpoint 37.12%

Average Notional Block Data

>$200K5.18%
$100K - $200K3.09%

Conditional Order Statistics

  • Median response time almost unchanged at 1.759 milliseconds

  • Average firm-up rate 80.04%

  • Median time on the book for firm-up before cancel at 809 milliseconds

  • Conditional percentage of ADV 5.04%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p75 32
p90 102
p95 241
p99 907


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