December 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D59.12%
EMM22.14%
Agency Algo/SOR15.84%
LT-PROP2.37%
S/Access0.26%
ECN/EXCH0.19%
HT: Agency0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask44.52%
Inside NBBO excluding Midpoint12.15%
At Midpoint*43.35%

Average Executed Notional Block Data

>$200K4.33%
$100K – $200K2.77%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5023
p7539
p90212
p95356
p99847

Conditional Order Statistics

  • Median response time 1.915 milliseconds
  • Average firm-up rate (orders) 82.70%
  • Conditional percentage of ADV 5.46%

VWAP Order Statistics

  • VWAP Block ADV 3,899,173
  • VWAP Block Unique Symbols Traded 3,193
  • VWAP Slice ADV 13,541,023
  • VWAP Slice Unique Symbols Traded 3,244

VWAP Executed Volume by Market Cap

Large Cap52.77%
Mid Cap30.67%
Small Cap16.56%

VWAP Executed Symbols by Market Cap

Large Cap793
Mid Cap1,108
Small Cap1,706

VWAP Volume Breakdown

Open to Counterparty0.06%
Open Only to Self-Match99.94%
Contra Matched0%
Self-Matched100%

Odd Lot Statistics

  • Odd Lot percentage of ADV 9.28%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4998265.61%
500 – 99963111.10%
1,000 – 1,9991,2518.73%
2,000 – 4,9992,8797.21%
5,000 – 9,9996,5843.33%
= 10,00019,1894.02%
Trade BasketAvg Trade SizeVolume
All121100.00%
= 5001,23734.39%
= 1,0002,28423.29%
= 2,0004,52314.56%
= 5,00010,2807.35%
= 10,00019,1894.02%

2022 Symbol Concentration

Top 106.53%
Top 25%12.17%
Top 5018.97%
Top 10028.04%
Top 25042.82%
Top 50056.24%

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*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading Member FINRA and SIPC