April 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
|
Segment Breakdown |
|---|
|
B/D |
52.54% |
|
EMM |
25.36% |
|
Agency Algo/SOR | 17.33% |
|
LT-PROP |
3.82% |
|
S/Access |
0.43% |
|
ECN/EXCH |
0.33% |
|
HT: Agency |
0.19% |
|
HT-Prop |
0.00% |
Spread Execution Metrics
|
At Bid/Ask |
40.48% |
|
Inside NBBO excluding Midpoint | 12.53% |
|
At Midpoint |
46.99% |
Average Executed Notional Block Data
| >$200K |
5.50% |
|
$100K - $200K | 3.36% |
Platform Latency
|
p-Value |
Microseconds |
|---|
|
p0 |
16 |
|
p25 |
21 |
|
p50 |
23 |
|
p75 |
28 |
|
p90 | 117 |
|
p95 |
281 |
|
p99 |
755 |
Conditional Order Statistics
- Median response time 2.576 milliseconds
- Average firm-up rate 79.81%
- Conditional percentage of ADV 6.76%
VWAP Order Statistics
- VWAP Block ADV 3,510,505
- VWAP Block Unique Symbols Traded 2,761
- VWAP Slice ADV 1,811,486
- VWAP Slice Unique Symbols Traded 2,146
VWAP Executed Volume by Market Cap
|
Large Cap |
55.13% |
|
Mid Cap |
31.81% |
|
Small Cap | 13.05% |
VWAP Executed symbols by Market Cap
|
Large Cap |
815 |
|
Mid Cap |
1,112 |
|
Small Cap | 1,123 |
Odd Lot Statistics
- Odd Lot percentage of ADV 6.01%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
|
1 - 499 |
92 | 65.24% |
|
500 - 999 |
634 | 10.96% |
|
1,000 - 1,999 |
1,263 |
8.93% |
|
2,000 - 4,999 |
2,832 | 7.18% |
|
5,000 - 9,999 |
6,543 |
3.50% |
|
≥ 10,000
|
18,892 |
4.19% |
| Trade Basket | Avg Trade Size | Volume |
|
All |
136 |
100.00% |
|
≥ 500
|
1,257 |
34.76% |
|
≥ 1,000
|
2,296 |
23.80% |
|
≥ 2,000
|
4,517 |
14.87% |
|
≥ 5,000
|
10,165 |
7.69% |
|
≥ 10,000
|
18,892 |
4.19% |
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