JANUARY 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D51.43%
EMM24.46%
Agency Algo/SOR18.49%
LT-PROP4.85%
S/Access0.37%
ECN/EXCH0.33%
HT: Agency0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask48.44%
Inside NBBO excluding Midpoint12.17%
At Midpoint39.41%

Average Executed Notional Block Data

>$200K5.83%
$100K – $200K3.73%

Platform Latency

p-ValueMicroseconds
p016
p2522
p5027
p7597
p90334
p95566
p991,407

Conditional Order Statistics

  • Median response time 2.265 milliseconds
  • Average firm-up rate 81.89%
  • Conditional percentage of ADV 7.05%

VWAP Order Statistics

  • VWAP Block ADV 3,473,252
  • VWAP Block Unique Symbols Traded 2,604
  • VWAP Slice ADV 187,273
  • VWAP Slice Unique Symbols Traded 672

VWAP Executed Volume by Market Cap

Large Cap56.88%
Mid Cap32.83%
Small Cap10.29%

VWAP Executed symbols by Market Cap

Large Cap828
Mid Cap1,062
Small Cap742

Odd Lot Statistics

  • Odd Lot percentage of ADV 4.56%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4999764.00%
500 – 99963111.34%
1,000 – 1,9991,2568.74%
2,000 – 4,9992,8377.53%
5,000 – 9,9996,4923.88%
≥ 10,00020,6464.50%
Trade BasketAvg Trade SizeVolume
All146100.00%
≥ 5001,26736.00%
≥ 1,0002,36424.65%
≥ 2,0004,58615.92%
≥ 5,00010,2768.39%
≥ 10,00020,6464.50%

Archives

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*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here.

For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading Member FINRA and SIPC