November 2022 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D	59.15%
EMM	22.80%
Agency Algo/SOR	14.92%
LT-PROP	2.58%
S/Access	0.25%
ECN/EXCH	0.20%
HT: Agency	0.10%
HT-Prop	0.00%

Spread Execution Metrics

At Bid/Ask	43.81%
Inside NBBO excluding Midpoint	10.02%
At Midpoint*	43.12%

Average Executed Notional Block Data

>$200K	4.53%
$100K - $200K	3.10%

Platform Latency

p-Value	Microseconds
p0	16
p25	22
p50	23
p75	53
p90	255
p95	404
p99	973

Conditional Order Statistics

Median response time 2.268 milliseconds
Average firm-up rate (orders) 80.86%
Conditional percentage of ADV 6.40%

VWAP Order Statistics

VWAP Block ADV 4,990,948
VWAP Block Unique Symbols Traded 3,197
VWAP Slice ADV 16,644,092
VWAP Slice Unique Symbols Traded 3,259

VWAP Executed Volume by Market Cap

Large Cap	55.86%
Mid Cap	31.02%
Small Cap	13.12%

VWAP Executed Symbols by Market Cap

Large Cap	816
Mid Cap	1,169
Small Cap	1,544

VWAP Volume Breakdown

Open to Counterparty	0.09%
Open Only to Self-Match	99.91%

Contra Matched	0%
Self-Matched	100%

Odd Lot Statistics

Odd Lot percentage of ADV 9.68%

LEVEL EXECUTIONS BY TRADE SIZE

Trade Basket	Avg Trade Size	Volume
1 - 499	83	65.58%
500 - 999	630	10.82%
1,000 - 1,999	1,258	8.93%
2,000 - 4,999	2,858	7.69%
5,000 - 9,999	6,473	3.18%
= 10,000	18,451	3.80%

Trade Basket	Avg Trade Size	Volume
All	122	100.00%
= 500	1,244	34.42%
= 1,000	2,250	23.60%
= 2,000	4,330	14.67%
= 5,000	10,006	6.98%
= 10,000	18,451	3.80%

*VWAP Volume not included in Midpoint Volume Calculation

Figures may not total to 100% due to rounding

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