September 2020 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 53.75%
Agency Algo/SOR 19.71%
LT-PROP 7.43%
ECN/EXCH 0.20%
HT-PROP 0.01%
HT: Agency 0.01%

Spread Execution Metrics

At Bid/Ask 47.47%
Inside NBBO excluding Midpoint 10.54%
At Midpoint41.99%

Average Notional Block Data

>$200K 3.70%
$100K - $200K 2.88%

Conditional Order Statistics

  • Median response time almost unchanged at 1.627 milliseconds

  • Average firm-up rate 82%

  • Median time on the book for firm-up before cancel at 1,145 milliseconds

  • Conditional percentage of ADV: 3.73%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 24
p90 117
p95 280
p99 721

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