January 2023 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D	58.55%
EMM	21.08%
Agency Algo/SOR	16.72%
LT-PROP	3.04%
S/Access	0.30%
ECN/EXCH	0.23%
HT: Agency	0.09%
HT-Prop	0.00%

Spread Execution Metrics

At Bid/Ask	42.58%
Inside NBBO excluding Midpoint	11.89%
At Midpoint*	45.56%

Average Executed Notional Block Data

>$200K	4.78%
$100K - $200K	3.03%

Platform Latency

p-Value	Microseconds
p0	16
p25	22
p50	23
p75	31
p90	177
p95	318
p99	772

Conditional Order Statistics

Median response time 1.879 milliseconds
Average firm-up rate (orders) 83.07%
Conditional percentage of ADV 4.70%

VWAP Order Statistics

VWAP Block ADV 4,637,536
VWAP Block Unique Symbols Traded 3,062
VWAP Slice ADV 12,276,817
VWAP Slice Unique Symbols Traded 3,088

VWAP Executed Volume by Market Cap

Large Cap	57.98%
Mid Cap	29.85%
Small Cap	12.17%

VWAP Executed Symbols by Market Cap

Large Cap	835
Mid Cap	1,145
Small Cap	1,454

VWAP Volume Breakdown

Open to Counterparty	7.56%
Open Only to Self-Match	92.44%

Contra Matched	.32%
Self-Matched	99.68%

Odd Lot Statistics

Odd Lot percentage of ADV 8.16%

LEVEL EXECUTIONS BY TRADE SIZE

Trade Basket	Avg Trade Size	Volume
1 - 499	84	63.17%
500 - 999	632	10.44%
1,000 - 1,999	1,248	8.82%
2,000 - 4,999	2,878	7.64%
5,000 - 9,999	6,710	4.32%
= 10,000	19,696	5.61%

Trade Basket	Avg Trade Size	Volume
All	129	100.00%
= 500	1,356	36.83%
= 1,000	2,479	26.39%
= 2,000	4,905	17.57%
= 5,000	10,693	9.94%
= 10,000	19,696	5.61%

*VWAP Volume not included in Midpoint Volume Calculation

Figures may not total to 100% due to rounding

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