July 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
|
Segment Breakdown |
|---|
|
B/D |
58.23% |
|
EMM |
21.14% |
|
Agency Algo/SOR |
16.82% |
|
LT-PROP |
3.11% |
|
S/Access |
0.40% |
|
ECN/EXCH |
0.24% |
|
HT: Agency |
0.07% |
|
HT-Prop |
0.00% |
Spread Execution Metrics
|
At Bid/Ask |
40.35% |
|
Inside NBBO excluding Midpoint |
11.12% |
|
At Midpoint |
48.53% |
Average Executed Notional Block Data
| >$200K |
4.45% |
|
$100K - $200K |
2.80% |
Platform Latency
|
p-Value |
Microseconds |
|---|
|
p0 |
16 |
|
p25 |
22 |
|
p50 |
23 |
|
p75 |
36 |
|
p90 |
201 |
|
p95 |
353 |
|
p99 |
912 |
Conditional Order Statistics
- Median response time 2.609 milliseconds
- Average firm-up rate (orders) 82.74%
- Conditional percentage of ADV 5.04%
VWAP Order Statistics
- VWAP Block ADV 4,874,176
- VWAP Block Unique Symbols Traded 3,200
- VWAP Slice ADV 12,054,241
- VWAP Slice Unique Symbols Traded 3,245
VWAP Executed Volume by Market Cap
|
Large Cap |
56.90% |
|
Mid Cap |
29.34% |
|
Small Cap |
13.76% |
VWAP Executed Symbols by Market Cap
|
Large Cap |
837 |
|
Mid Cap |
1,163 |
|
Small Cap |
1,614 |
VWAP Volume Breakdown
|
Open to Counterparty | 28.90% |
|
Open Only to Self-Match | 71.10% |
|
Contra Matched | 0% |
|
Self-Matched | 100% |
Odd Lot Statistics
- Odd Lot percentage of ADV 8.73%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
|
1 - 499 |
84 |
64.62% |
|
500 - 999 |
632 |
10.97% |
|
1,000 - 1,999 |
1,266 |
8.57% |
|
2,000 - 4,999 |
2,852 |
7.34% |
|
5,000 - 9,999 |
6,549 |
3.45% |
|
≥ 10,000
|
20,745 |
5.05% |
| Trade Basket | Avg Trade Size | Volume |
|
All |
126 |
100.00% |
|
≥ 500
|
1,288 |
35.38% |
|
≥ 1,000
|
2,414 |
24.41% |
|
≥ 2,000
|
4,376 |
15.84% |
|
≥ 5,000
|
11,034 |
8.50% |
|
≥ 10,000
|
20,745 |
5.05% |
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