October 2020 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.72%
Agency Algo/SOR 19.95%
LT-PROP 6.84%
ECN/EXCH 0.23%
HT-PROP 0.01%
HT: Agency 0.01%

Spread Execution Metrics

At Bid/Ask 47.64%
Inside NBBO excluding Midpoint 10.78%
At Midpoint41.58%

Average Notional Block Data

>$200K 4.02%
$100K - $200K 2.75%

Conditional Order Statistics

  • Median response time almost unchanged at 1.785 milliseconds

  • Average firm-up rate 81%

  • Median time on the book for firm-up before cancel at 743 milliseconds

  • Conditional percentage of ADV: 4.19%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 23
p90 108
p95 261
p99 869

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