MAY 2020 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.97%
Agency Algo/SOR 21.07%
EMM 16.99%
LT-PROP 8.22%
S/Access 0.47%
ECN/EXCH 0.26%
HT Agency 0.01%
HT-PROP 0.01%

Spread Execution Metrics

At Bid/Ask 45.10%
Inside NBBO excluding Midpoint 10.99%
At Midpoint 43.91%

Average Notional Block Data

>$200K 3.15%
$100K - $200K 2.47%

Conditional Order Statistics

  • Median response time almost unchanged at 1.671 milliseconds

  • Average firm-up rate 86%

  • Median time on the book for firm-up before cancel at 1,769 milliseconds

  • Conditional percentage of ADV: 3.39%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p75 31
p90 106
p95 263
p99 608

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