april 2024 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D67.72%
EMM17.55%
Agency Algo/SOR12.24%
LT-PROP2.17%
ECN/EXCH0.12%
HT: Agency0.10%
S/Access0.09%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask37.22%
Inside NBBO excluding Midpoint11.20%
At Midpoint*51.58%

Average Executed Notional Block Data

>$200K5.41%
$100K – $200K2.69%

Platform Latency

p-ValueMicroseconds
p0 12
p25 15
p50 16
p75 18
p90 21
p95 24
p99 37

Conditional Order Statistics

  • Median response time: 1.107 milliseconds
  • Average firm-up rate (orders): 85.77%
  • Conditional percentage of ADV: 5.65%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 32,610,079
  • VWAP Block Unique Symbols Traded: 4,332
  • VWAP Slice ADV (shares): 18,270,253
  • VWAP Slice Unique Symbols Traded: 3,299

VWAP Order Time Percentage

1 min – 1 max97.71%
5 min – 5 max2.60%
Other2.70%

VWAP Executed Volume By Market CAP

Large Cap54.25%
Mid Cap29.78%
Small Cap15.95%

VWAP Executed Symbols by Market Cap

Large Cap1,008
Mid Cap1,198
Small Cap2,169

VWAP INFLOW Breakdown

Open to Counterparty25.56%
Open Only to Self-Match74.44%
Contra Matched.24%
Self-Matched99.76%

Odd lot Statistics

  • Odd Lot percentage of ADV 25.57%

Average Trade Size

  • 29 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4992173.14%
500 – 9996378.82%
1,000 – 1,9991,2696.32%
2,000 – 4,9992,8414.65%
5,000 – 9,9996,5252.49%
≥ 10,00022,6634.58%
Trade BasketAvg Trade SizeVolume
All29100.00%
≥ 5001,27626.86%
≥ 1,0002,50618.04%
≥ 2,0005,27911.72%
≥ 5,00012,1057.07%
≥ 10,00022,6634.58%

Archives

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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, LLC Member FINRA and SIPC