July 2020 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.70%
Agency Algo/SOR 19.68%
EMM 18.52%
LT-PROP 7.37%
S/Access 0.45%
ECN/EXCH 0.27%
HT Agency 0.01%
HT-PROP 0.01%

Spread Execution Metrics

At Bid/Ask 48.80%
Inside NBBO excluding Midpoint 10.23%
At Midpoint39.97%

Average Notional Block Data

>$200K 3.55%
$100K - $200K 2.88%

Conditional Order Statistics

  • Median response time almost unchanged at 1.697 milliseconds

  • Average firm-up rate 83%

  • Median time on the book for firm-up before cancel at 1,217 milliseconds

  • Conditional percentage of ADV: 3.64%

Platform Latency

p-Value Microseconds
p0 16
p25 22
p50 23
p75 30
p90 103
p95 207
p99 568


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