October 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
|
Segment Breakdown |
|---|
|
B/D |
57.70% |
|
EMM |
23.76% |
|
Agency Algo/SOR |
15.08% |
|
LT-PROP |
2.89% |
|
S/Access |
0.26% |
|
ECN/EXCH |
0.22% |
|
HT: Agency |
0.08% |
|
HT-Prop |
0.00% |
Spread Execution Metrics
|
At Bid/Ask |
43.18% |
|
Inside NBBO excluding Midpoint |
12.52% |
|
At Midpoint* |
44.32% |
Average Executed Notional Block Data
| >$200K |
5.25% |
|
$100K - $200K | 3.36% |
Platform Latency
|
p-Value |
Microseconds |
|---|
|
p0 |
16 |
|
p25 |
22 |
|
p50 |
24 |
|
p75 |
66 |
|
p90 |
279 |
|
p95 |
444 |
|
p99 |
1,091 |
Conditional Order Statistics
- Median response time 2.393 milliseconds
- Average firm-up rate (orders) 79.91%
- Conditional percentage of ADV 6.17%
VWAP Order Statistics
- VWAP Block ADV 5,075,622
- VWAP Block Unique Symbols Traded 3,250
- VWAP Slice ADV 15,242,539
- VWAP Slice Unique Symbols Traded 3,118
VWAP Executed Volume by Market Cap
|
Large Cap |
58.71% |
|
Mid Cap |
29.35% |
|
Small Cap |
11.94% |
VWAP Executed Symbols by Market Cap
|
Large Cap |
791 |
|
Mid Cap |
1,157 |
|
Small Cap |
1,568 |
VWAP Volume Breakdown
|
Open to Counterparty |
0.04% |
|
Open Only to Self-Match | 99.96% |
|
Contra Matched |
0% |
|
Self-Matched |
100% |
Odd Lot Statistics
- Odd Lot percentage of ADV 8.81%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
|
1 - 499 |
84 |
63.46% |
|
500 - 999 |
636 |
11.12% |
|
1,000 - 1,999 |
1,261 |
9.51% |
|
2,000 - 4,999 |
2,871 |
8.44% |
|
5,000 - 9,999 |
6,379 |
3.42% |
|
≥ 10,000
|
19,652 |
4.04% |
| Trade Basket | Avg Trade Size | Volume |
|
All |
127 |
100.00% |
|
≥ 500
|
1,273 |
36.54% |
|
≥ 1,000
|
2,264 |
25.42% |
|
≥ 2,000
|
4,320 |
15.91% |
|
≥ 5,000
|
10,057 |
7.47% |
|
≥ 10,000
|
19,652 |
4.04% |
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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