AUGUST 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D	59.55%
EMM	20.73%
Agency Algo/SOR	16.04%
LT-PROP	2.89%
S/Access	0.40%
ECN/EXCH	0.28%
HT: Agency	0.10%
HT-Prop	0.00%

Spread Execution Metrics

At Bid/Ask	43.46%
Inside NBBO excluding Midpoint	10.80%
At Midpoint*	45.75%

Average Executed Notional Block Data

>$200K	3.91%
$100K – $200K	2.88%

Platform Latency

p-Value	Microseconds
p0	16
p25	22
p50	23
p75	29
p90	124
p95	277
p99	739

Conditional Order Statistics

Median response time 2.496 milliseconds
Average firm-up rate (orders) 82.83%
Conditional percentage of ADV 5.36%

VWAP Order Statistics

VWAP Block ADV 4,752,350
VWAP Block Unique Symbols Traded 3,288
VWAP Slice ADV 11,941,562
VWAP Slice Unique Symbols Traded 3,230

VWAP Executed Volume by Market Cap

Large Cap	51.40%
Mid Cap	31.98%
Small Cap	16.62%

VWAP Executed Symbols by Market Cap

Large Cap	818
Mid Cap	1,150
Small Cap	1,642

VWAP Volume Breakdown

Open to Counterparty	0.12%
Open Only to Self-Match	99.88%

Contra Matched	0%
Self-Matched	100%

Odd Lot Statistics

Odd Lot percentage of ADV 8.94%

LEVEL EXECUTIONS BY TRADE SIZE

Trade Basket	Avg Trade Size	Volume
1 – 499	83	66.80%
500 – 999	630	11.18%
1,000 – 1,999	1,248	8.71%
2,000 – 4,999	2,812	6.82%
5,000 – 9,999	6,473	3.05%
≥ 10,000	19,117	3.45%

Trade Basket	Avg Trade Size	Volume
All	120	100.00%
≥ 500	1,195	33.20%
≥ 1,000	2,190	22.02%
≥ 2,000	4,329	13.32%
≥ 5,000	9,981	6.50%
≥ 10,000	19,117	3.45%

*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