MAY 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 52.97% |
| Agency Algo/SOR | 21.07% |
| EMM | 16.99% |
| LT-PROP | 8.22% |
| S/Access | 0.47% |
| ECN/EXCH | 0.26% |
| HT Agency | 0.01% |
| HT-PROP | 0.01% |
Spread Execution Metrics
| At Bid/Ask | 45.10% |
| Inside NBBO excluding Midpoint | 10.99% |
| At Midpoint | 43.91% |
Average Notional Block Data
| >$200K | 3.15% |
| $100K - $200K | 2.47% |
Conditional Order Statistics
- Median response time almost unchanged at 1.671 milliseconds
- Average firm-up rate 86%
- Median time on the book for firm-up before cancel at 1,769 milliseconds
- Conditional percentage of ADV: 3.39%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 21 |
| p50 | 23 |
| p75 | 31 |
| p90 | 106 |
| p95 | 263 |
| p99 | 608 |
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