January 2021 Aggregate Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D 54.21%
Agency Algo/SOR20.78%
EMM 19.72%
S/Access 0.31%
ECN/EXCH 0.26%
HT Agency 0.01%
HT-PROP 0.01%

Spread Execution Metrics

At Bid/Ask 42.80%
Inside NBBO excluding Midpoint12.19%
At Midpoint 45.01%

Average Notional Block Data

$100K - $200K2.88%

Conditional Order Statistics

  • Median response time almost unchanged at 1.618 milliseconds

  • Average firm-up rate 77.47%

  • Median time on the book for firm-up before cancel at 387 milliseconds

  • Conditional percentage of ADV: 5.57%

Platform Latency

p-Value Microseconds
p0 17
p25 22
p50 23
p75 28

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