October 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 53.72% |
| Agency Algo/SOR | 19.95% |
| EMM | 18.86% |
| LT-PROP | 6.84% |
| S/Access | 0.37% |
| ECN/EXCH | 0.23% |
| HT-PROP | 0.01% |
| HT: Agency | 0.01% |
Spread Execution Metrics
| At Bid/Ask | 47.64% |
| Inside NBBO excluding Midpoint | 10.78% |
| At Midpoint | 41.58% |
Average Notional Block Data
| >$200K | 4.02% |
| $100K - $200K | 2.75% |
Conditional Order Statistics
- Median response time almost unchanged at 1.785 milliseconds
- Average firm-up rate 81%
- Median time on the book for firm-up before cancel at 743 milliseconds
- Conditional percentage of ADV: 4.19%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 17 |
| p25 | 22 |
| p50 | 23 |
| p75 | 33 |
| p90 | 108 |
| p95 | 261 |
| p99 | 869 |
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