February 2022 - Monthly Aggregate Trading Data
Event Type:
Product Showcase
Start:
April 4, 2022
End:
April 1, 2023
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
February 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 50.76% |
| EMM | 24.93% |
| Agency Algo/SOR | 18.80% |
| LT-PROP | 4.67% |
| S/Access | 0.44% |
| ECN/EXCH | 0.30% |
| HT: Agency | 0.10% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 49.70% |
| Inside NBBO excluding Midpoint | 13.05% |
| At Midpoint | 37.25% |
Average Executed Notional Block Data
| >$200K | 5.78% |
| $100K - $200K | 3.36% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 26 |
| p75 | 94 |
| p90 | 359 |
| p95 | 647 |
| p99 | 1,522 |
Conditional Order Statistics
- Median response time 1.868 milliseconds
- Average firm-up rate 78.99%
- Conditional percentage of ADV 6.23%
VWAP Order Statistics
- VWAP Block ADV 3,319,149
- VWAP Block Unique Symbols Traded 2,563
- VWAP Slice ADV 878,482
- VWAP Slice Unique Symbols Traded 1,644
VWAP Executed Volume by Market Cap
| Large Cap | 54.04% |
| Mid Cap | 35.23% |
| Small Cap | 10.73% |
VWAP Executed symbols by Market Cap
| Large Cap | 846 |
| Mid Cap | 1,112 |
| Small Cap | 800 |
Odd Lot Statistics
- Odd Lot percentage of ADV 5.54%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 - 499 | 95 | 65.82% |
| 500 - 999 | 630 | 11.21% |
| 1,000 - 1,999 | 1,267 | 8.41% |
| 2,000 - 4,999 | 2,837 | 7.12% |
| 5,000 - 9,999 | 6,540 | 3.35% |
| ≥ 10,000 | 20,775 | 4.19% |
| Trade Basket | Avg Trade Size | Volume |
| All | 139 | 100.00% |
| ≥ 500 | 1,242 | 34.18% |
| ≥ 1,000 | 2,339 | 23.06% |
| ≥ 2,000 | 4,545 | 14.66% |
| ≥ 5,000 | 10,560 | 7.53% |
| ≥ 10,000 | 20,775 | 4.19% |
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