December 2020 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 55.60%
Agency Algo/SOR21.09%
EMM 17.38%
LT-PROP5.35%
S/Access 0.31%
ECN/EXCH 0.23%
HT Agency 0.03%
HT-PROP 0.01%

Spread Execution Metrics

At Bid/Ask 42.80%
Inside NBBO excluding Midpoint12.19%
At Midpoint 45.01%

Average Notional Block Data

>$200K4.28%
$100K - $200K2.65%

Conditional Order Statistics

  • Median response time almost unchanged at 1.646 milliseconds

  • Average firm-up rate 81.83%

  • Median time on the book for firm-up before cancel at 464 milliseconds

  • Conditional percentage of ADV: 5.05%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 23
p75 26
p9057
p95105
p99438


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