April 2021 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 52.02%
Agency Algo/SOR 20.62%
LT-PROP 6.60%
S/Access 0.28%
ECN/EXCH 0.17%
HT-PROP 0.02%
HT: Agency 0.00%

Spread Execution Metrics

At Bid/Ask 47.48%
Inside NBBO excluding Midpoint 11.25%
At Midpoint 41.27%

Average Notional Block Data

$100K - $200K3.31%

Conditional Order Statistics

  • Median response time almost unchanged at 1.751 milliseconds

  • Average firm-up rate 82.77%

  • Median time on the book for firm-up before cancel at 440 milliseconds

  • Conditional percentage of ADV 4.88%

Platform Latency

p-Value Microseconds
p0 16
p25 21
p50 23
p75 26
p90 82
p95 113
p99 585

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