February 2023 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
|
Segment Breakdown |
|---|
|
B/D |
58.88% |
|
Agency Algo/SOR |
15.98% |
|
EMM |
22.24% |
|
LT-PROP | 2.25% |
|
S/Access |
0.34% |
|
ECN/EXCH |
0.23% |
|
HT: Agency |
0.09% |
|
HT-Prop |
0.00% |
Spread Execution Metrics
|
At Bid/Ask |
44.08% |
|
Inside NBBO excluding Midpoint |
13.93% |
|
At Midpoint* |
42.03% |
Average Executed Notional Block Data
| >$200K |
4.25% |
|
$100K - $200K |
2.91% |
Platform Latency
|
p-Value |
Microseconds |
|---|
|
p0 |
16 |
|
p25 |
21 |
|
p50 |
23 |
|
p75 |
32 |
|
p90 |
177 |
|
p95 |
313 |
|
p99 |
768 |
Conditional Order Statistics
- Median response time 1.770 milliseconds
- Average firm-up rate (orders) 79.30%
- Conditional percentage of ADV 4.87%
VWAP Order Statistics
- VWAP Block ADV 4,6533,930
- VWAP Block Unique Symbols Traded 3,163
- VWAP Slice ADV 17,005,422
- VWAP Slice Unique Symbols Traded 3,150
VWAP Executed Volume by Market Cap
|
Large Cap |
54.26% |
|
Mid Cap |
31.58% |
|
Small Cap |
14.15% |
VWAP Executed Symbols by Market Cap
|
Large Cap |
821 |
|
Mid Cap |
1,141 |
|
Small Cap |
1,522 |
VWAP Volume Breakdown
|
Open to Counterparty |
6.25% |
|
Open Only to Self-Match |
93.75% |
|
Contra Matched |
.13% |
|
Self-Matched |
99.87% |
Odd Lot Statistics
- Odd Lot percentage of ADV 8.16%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
|
1 - 499 |
82 |
67.41% |
|
500 - 999 |
631 |
10.53% |
|
1,000 - 1,999 |
1,242 |
8.27% |
|
2,000 - 4,999 |
2,848 |
6.86% |
|
5,000 - 9,999 |
6,560 |
3.15% |
|
≥ 10,000
|
19,739 |
3.78% |
| Trade Basket | Avg Trade Size | Volume |
|
All |
118 |
100.00% |
|
≥ 500
|
1,233 |
32.59% |
|
≥ 1,000
|
2,265 |
22.06% |
|
≥ 2,000
|
4,476 |
13.79% |
|
≥ 5,000
|
10,313 |
6.93% |
|
≥ 10,000
|
19,739 |
3.78% |
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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