DECEMBER 2024 Monthly Aggregate Trading DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D68.31%
EMM16.16%
Agency Algo/SOR13.35%
LT-PROP1.87%
HT: Agency0.13%
ECN/EXCH0.11%
S/Access0.076%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask29.91%
Inside NBBO excluding Midpoint10.23%
At Midpoint*59.86%

Average Executed Notional Block Data

>$200K11.21%
$100K – $200K4.38%

Platform Latency

p-ValueMicroseconds
p0 12
p25 16
p50 17
p75 18
p90 22
p95 26
p99 49

Conditional Order Statistics

  • Median response time: 1.054 milliseconds
  • Average firm-up rate (orders): 85.02%
  • Conditional percentage of ADV: 4.85%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 34,626,294
  • VWAP Block Unique Symbols Traded: 4,270
  • VWAP Slice ADV (shares): 25,127,555
  • VWAP Slice Unique Symbols Traded: 3,450

VWAP Order Time Percentage

1 min – 2 max76.15%
1 min – 1 max10.29%
5 min – 5 max7.96%
Other5.60%

VWAP Executed Volume By Market CAP

Large Cap56.46%
Mid Cap28.65%
Small Cap14.89%

VWAP Executed Symbols by Market Cap

Large Cap999
Mid Cap1,191
Small Cap2,162

VWAP INFLOW Breakdown

Open to Counterparty27.56%
Open Only to Self-Match72.44%
Contra Matched5.08%
Self-Matched94.92%

Odd lot Statistics

  • Odd Lot percentage of ADV 18.44%

Average Trade Size

  • 51 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4993261.00%
500 – 9996489.01%
1,000 – 1,9991,2957.56%
2,000 – 4,9992,9177.33%
5,000 – 9,9996,7954.72%
≥ 10,00023,12410.38%
Trade BasketAvg Trade SizeVolume
All51100.00%
≥ 5001,66639.00%
≥ 1,0003,15830.00%
≥ 2,0006,13622.43%
≥ 5,00013,20415.10%
≥ 10,00023,12410.38%

Archives

December 2024 Aggregate Trade

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November 2024 Aggregate Trade

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August 2024 Aggregate Trade

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July 2024 Aggregate Trade

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June 2024 Aggregate Trade

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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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