October 2020 Aggregate Data
Segment Concentration as a Percentage of ADV
Spread Execution Metrics
|Inside NBBO excluding Midpoint||10.78%|
Average Notional Block Data
|$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%
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