September 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 53.75% |
| Agency Algo/SOR | 19.71% |
| EMM | 18.33% |
| LT-PROP | 7.43% |
| S/Access | 0.56% |
| ECN/EXCH | 0.20% |
| HT-PROP | 0.01% |
| HT: Agency | 0.01% |
Spread Execution Metrics
| At Bid/Ask | 47.47% |
| Inside NBBO excluding Midpoint | 10.54% |
| At Midpoint | 41.99% |
Average Notional Block Data
| >$200K | 3.70% |
| $100K - $200K | 2.88% |
Conditional Order Statistics
- Median response time almost unchanged at 1.627 milliseconds
- Average firm-up rate 82%
- Median time on the book for firm-up before cancel at 1,145 milliseconds
- Conditional percentage of ADV: 3.73%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 17 |
| p25 | 22 |
| p50 | 24 |
| p75 | 39 |
| p90 | 117 |
| p95 | 280 |
| p99 | 721 |
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