OCTOBER 2024 MONTHLY AGGREGATE TRADING DATA
OCTOBER 2024 Monthly Aggregate Trading DATA
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 71.41% |
| EMM | 14.69% |
| Agency Algo/SOR | 12.23% |
| LT-PROP | 1.38% |
| ECN/EXCH | 0.12% |
| HT: Agency | 0.11% |
| S/Access | 0.06% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 29.73% |
| Inside NBBO excluding Midpoint | 9.83% |
| At Midpoint* | 60.45% |
Average Executed Notional Block Data
| >$200K | 11.95% |
| $100K – $200K | 4.36% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 16 |
| p50 | 16 |
| p75 | 18 |
| p90 | 21 |
| p95 | 24 |
| p99 | 36 |
Conditional Order Statistics
- Median response time: 1.006 milliseconds
- Average firm-up rate (orders): 88.95%
- Conditional percentage of ADV: 5.51%
VWAP/ Trajectory cross Order Statistics
- VWAP Block ADV (shares): 37,868,657
- VWAP Block Unique Symbols Traded: 4,214
- VWAP Slice ADV (shares): 21,707,398
- VWAP Slice Unique Symbols Traded: 3,252
VWAP Order Time Percentage
| 1 min – 2 max | 83.80% |
| 5 min – 5 max | 5.71% |
| 1 min – 1 max | 5.46% |
| Other | 4.78% |
VWAP Executed Volume By Market CAP
| Large Cap | 56.32% |
| Mid Cap | 30.13% |
| Small Cap | 13.55% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,012 |
| Mid Cap | 1,183 |
| Small Cap | 2,060 |
VWAP INFLOW Breakdown
| Open to Counterparty | 21.41% |
| Open Only to Self-Match | 78.59% |
| Contra Matched | 1.84% |
| Self-Matched | 98.16% |
Odd lot Statistics
- Odd Lot percentage of ADV 19.84%
Average Trade Size
- 45 share
EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 28 | 62.19% |
| 500 – 999 | 648 | 8.93% |
| 1,000 – 1,999 | 1,291 | 7.50% |
| 2,000 – 4,999 | 2,934 | 7.05% |
| 5,000 – 9,999 | 6,751 | 4.68% |
| ≥ 10,000 | 22,503 | 9.65% |
| Trade Basket | Avg Trade Size | Volume |
| All | 45 | 100.00% |
| ≥ 500 | 1,636 | 37.81% |
| ≥ 1,000 | 3,094 | 28.88% |
| ≥ 2,000 | 6,065 | 21.38% |
| ≥ 5,000 | 12,773 | 14.33% |
| ≥ 10,000 | 22,503 | 9.65% |
Archives
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here
For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading, LLC Member FINRA and SIPC