March 2021 Aggregate Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 49.90% |
| Agency Algo/SOR | 22.81% |
| EMM | 19.58% |
| LT-PROP | 7.22% |
| S/Access | 0.22% |
| ECN/EXCH | 0.21% |
| HT-PROP | 0.04% |
| HT: Agency | 0.02% |
Spread Execution Metrics
| At Bid/Ask | 49.41% |
| Inside NBBO excluding Midpoint | 13.47% |
| At Midpoint | 37.12% |
Average Notional Block Data
| >$200K | 5.18% |
| $100K - $200K | 3.09% |
Conditional Order Statistics
- Median response time almost unchanged at 1.759 milliseconds
- Average firm-up rate 80.04%
- Median time on the book for firm-up before cancel at 809 milliseconds
- Conditional percentage of ADV 5.04%
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 21 |
| p50 | 23 |
| p75 | 32 |
| p90 | 102 |
| p95 | 241 |
| p99 | 907 |
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