June 2021 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 52.25% |
| Agency Algo/SOR | 20.93% |
| EMM | 20.38% |
| LT-PROP | 5.72% |
| S/Access | 0.48% |
| ECN/EXCH | 0.21% |
| HT-PROP | 0.02% |
| HT: Agency | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 45.41% |
| Inside NBBO excluding Midpoint | 10.77% |
| At Midpoint | 43.82% |
Average Notional Block Data
| >$200K | 5.09% |
| $100K - $200K | 3.08% |
Conditional Order Statistics
- Median response time 1.796 milliseconds
- Average firm-up rate 81.59%
- Median time on the book for firm-up before cancel at 433 milliseconds
- Conditional percentage of ADV 5.85%
Odd Lot Statistics
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 23 |
| p75 | 27 |
| p90 | 88 |
| p95 | 119 |
| p99 | 633 |
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