Level ATS | Alternative Trading System

October 2022 Monthly Aggregate Trading Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 57.70%
EMM 23.76%
Agency Algo/SOR 15.08%
LT-PROP 2.89%
S/Access 0.26%
ECN/EXCH 0.22%
HT: Agency 0.08%
HT-Prop 0.00%

Spread Execution Metrics

At Bid/Ask 43.18%
Inside NBBO excluding Midpoint 12.52%
At Midpoint* 44.32%

Average Executed Notional Block Data

>$200K 5.25%
$100K - $200K3.36%

Platform Latency

p-Value Microseconds
p0 16
p25 22
p50 24
p75 66
p90 279
p95 444
p99 1,091

Conditional Order Statistics

  • Median response time 2.393 milliseconds
  • Average firm-up rate (orders) 79.91%
  • Conditional percentage of ADV 6.17%

VWAP Order Statistics

  • VWAP Block ADV 5,075,622
  • VWAP Block Unique Symbols Traded 3,250
  • VWAP Slice ADV 15,242,539
  • VWAP Slice Unique Symbols Traded 3,118

VWAP Executed Volume by Market Cap

Large Cap 58.71%
Mid Cap 29.35%
Small Cap 11.94%

VWAP Executed Symbols by Market Cap

Large Cap 791
Mid Cap 1,157
Small Cap 1,568

VWAP Volume Breakdown

Open to Counterparty 0.04%
Open Only to Self-Match99.96%

Contra Matched 0%
Self-Matched 100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 8.81%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 - 499 84 63.46%
500 - 999 636 11.12%
1,000 - 1,999 1,261 9.51%
2,000 - 4,999 2,871 8.44%
5,000 - 9,999 6,379 3.42%
≥ 10,000 19,652 4.04%

Trade BasketAvg Trade SizeVolume
All 127 100.00%
≥ 500 1,273 36.54%
≥ 1,000 2,264 25.42%
≥ 2,000 4,320 15.91%
≥ 5,000 10,057 7.47%
≥ 10,000 19,652 4.04%





*VWAP Volume not included in Midpoint Volume Calculation

Figures may not total to 100% due to rounding

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LeveL ATS is an SEC-registered Alternative Trading System owned and operated by Luminex Trading & Analytics LLC, Member FINRA/SIPC. A copy of the Luminex Trading & Analytics LLC Business Continuity Plan Customer Disclosure Statement is available here.
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