June 2021 Monthly Aggregate Trading Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.25%
Agency Algo/SOR 20.93%
EMM 20.38%
LT-PROP 5.72%
S/Access 0.48%
ECN/EXCH 0.21%
HT-PROP 0.02%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 45.41%
Inside NBBO excluding Midpoint 10.77%
At Midpoint 43.82%

Average Notional Block Data

>$200K 5.09%
$100K - $200K 3.08%

Conditional Order Statistics

  • Median response time 1.796 milliseconds

  • Average firm-up rate 81.59%

  • Median time on the book for firm-up before cancel at 433 milliseconds

  • Conditional percentage of ADV 5.85%

Odd Lot Statistics

  • Odd Lot percentage of ADV 1.95%


    • Platform Latency

      p-Value Microseconds
      p0 16
      p25 22
      p50 23
      p7527
      p9088
      p95119
      p99633


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