AUGUST 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D60.38%
EMM22.20%
Agency Algo/SOR14.63%
LT-PROP2.27%
S/Access0.23%
ECN/EXCH0.18%
HT: Agency0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask46.64%
Inside NBBO excluding Midpoint12.18%
At Midpoint*41.21%

Average Executed Notional Block Data

>$200K3.30%
$100K – $200K2.60%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7525
p9077
p95253
p99662

Conditional Order Statistics

  • Median response time 1.222 milliseconds
  • Average firm-up rate (orders) 86.18%
  • Conditional percentage of ADV 4.06%

VWAP Order Statistics

  • VWAP Block ADV 5,209,731
  • VWAP Block Unique Symbols Traded 3,552
  • VWAP Slice ADV 21,511,243
  • VWAP Slice Unique Symbols Traded 3,390

VWAP Executed Volume by Market Cap

Large Cap54.46%
Mid Cap30.77%
Small Cap14.78%

VWAP Executed Symbols by Market Cap

Large Cap881
Mid Cap1,155
Small Cap1,827

VWAP Volume Breakdown

Open to Counterparty2.84%
Open Only to Self-Match97.16%
Contra Matched0.09%
Self-Matched99.91%

Odd Lot Statistics

  • Odd Lot percentage of ADV 13.67

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4996769.14%
500 – 99963510.06%
1,000 – 1,9991,2448.24%
2,000 – 4,9992,8496.28%
5,000 – 9,9996,4802.93%
≥ 10,00019,1503.35%
Trade BasketAvg Trade SizeVolume
All94100.00%
≥ 5001,21930.86%
≥ 1,0002,20020.80%
≥ 2,0004,43712.56%
≥ 5,00010,0136.28%
≥ 10,00019,1503.35%

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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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