August 2020 Aggregate Data



Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.81%
Agency Algo/SOR 20.19%
EMM18.03%
LT-PROP 7.19%
S/Access0.50%
ECN/EXCH 0.25%
HT Agency 0.02%
HT-PROP 0.01%

Spread Execution Metrics

At Bid/Ask 49.89%
Inside NBBO excluding Midpoint 9.85%
At Midpoint40.26%

Average Notional Block Data

>$200K 3.87%
$100K - $200K 2.80%

Conditional Order Statistics

  • Median response time almost unchanged at 1.638 milliseconds

  • Average firm-up rate 83%

  • Median time on the book for firm-up before cancel at 1,370 milliseconds

  • Conditional percentage of ADV: 4.13%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 23
p7526
p90 82
p95 109
p99 419


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