SEPTEMBER 2023 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D60.42%
EMM22.60%
Agency Algo/SOR14.44%
LT-PROP2.08%
S/Access0.19%
ECN/EXCH0.17%
HT: Agency0.10%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask45.90%
Inside NBBO excluding Midpoint11.68%
At Midpoint*42.44%

Average Executed Notional Block Data

>$200K3.48%
$100K – $200K2.39%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7525
p9082
p95258
p99658

Conditional Order Statistics

  • Median response time 1.207 milliseconds
  • Average firm-up rate (orders) 87.44%
  • Conditional percentage of ADV 4.39%

VWAP Order Statistics

  • VWAP Block ADV 5,888,391
  • VWAP Block Unique Symbols Traded 3,525
  • VWAP Slice ADV 23,049,709
  • VWAP Slice Unique Symbols Traded 3,356

VWAP Executed Volume by Market Cap

Large Cap52.91%
Mid Cap30.75%
Small Cap16.34%

VWAP Executed Symbols by Market Cap

Large Cap842
Mid Cap1,119
Small Cap1,902

VWAP Volume Breakdown

Open to Counterparty5.05%
Open Only to Self-Match94.95%
Contra Matched0.03%
Self-Matched99.97%

Odd Lot Statistics

  • Odd Lot percentage of ADV 15.08

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4996270.53%
500 – 9996349.89%
1,000 – 1,9991,2467.74%
2,000 – 4,9992,8405.81%
5,000 – 9,9996,3822.65%
≥ 10,00021,3503.38%
Trade BasketAvg Trade SizeVolume
All86100.00%
≥ 5001,20629.47%
≥ 1,0002,21619.58%
≥ 2,0004,52011.84%
≥ 5,00010,0576.03%
≥ 10,00021,3503.38%

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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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