December 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
Segment Breakdown | |
---|---|
B/D | 55.60% |
Agency Algo/SOR | 21.09% |
EMM | 17.38% |
LT-PROP | 5.35% |
S/Access | 0.31% |
ECN/EXCH | 0.23% |
HT Agency | 0.03% |
HT-PROP | 0.01% |
Spread Execution Metrics
At Bid/Ask | 42.80% |
Inside NBBO excluding Midpoint | 12.19% |
At Midpoint | 45.01% |
Average Notional Block Data
>$200K | 4.28% |
$100K - $200K | 2.65% |
Conditional Order Statistics
- Median response time almost unchanged at 1.646 milliseconds
- Average firm-up rate 81.83%
- Median time on the book for firm-up before cancel at 464 milliseconds
- Conditional percentage of ADV: 5.05%
Platform Latency
p-Value | Microseconds |
---|---|
p0 | 17 |
p25 | 22 |
p50 | 23 |
p75 | 26 |
p90 | 57 |
p95 | 105 |
p99 | 438 |
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