JUNE 2024 Monthly Aggregate Trading DatA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D71.69%
EMM13.31%
Agency Algo/SOR12.89%
LT-PROP1.76%
HT: Agency0.14%
ECN/EXCH0.12%
S/Access0.08%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask34.35%
Inside NBBO excluding Midpoint11.32%
At Midpoint*54.33%

Average Executed Notional Block Data

>$200K5.44%
$100K – $200K2.27%

Platform Latency

p-ValueMicroseconds
p0 11
p25 15
p50 16
p75 18
p90 21
p95 24
p99 39

Conditional Order Statistics

  • Median response time: 1.308 milliseconds
  • Average firm-up rate (orders): 87.41%
  • Conditional percentage of ADV: 5.40%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 49,883,000
  • VWAP Block Unique Symbols Traded: 4,395
  • VWAP Slice ADV (shares): 22,121,843
  • VWAP Slice Unique Symbols Traded: 3,420

VWAP Order Time Percentage

1 min – 2 max79.48%
1 min – 1 max14.66%
5 min – 5 max2.70%
Other3.16%

VWAP Executed Volume By Market CAP

Large Cap53.12%
Mid Cap28.86%
Small Cap18.02%

VWAP Executed Symbols by Market Cap

Large Cap962
Mid Cap1,173
Small Cap2,313

VWAP INFLOW Breakdown

Open to Counterparty27.75%
Open Only to Self-Match72.25%
Contra Matched0.52%
Self-Matched99.43%

Odd lot Statistics

  • Odd Lot percentage of ADV 29.33%

Average Trade Size

  • 28 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4992173.77%
500 – 9996428.41%
1,000 – 1,9991,2726.07%
2,000 – 4,9992,8574.63%
5,000 – 9,9996,6132.38%
≥ 10,00023,8814.73%
Trade BasketAvg Trade SizeVolume
All28100.00%
≥ 5001,30726.23%
≥ 1,0002,56217.81%
≥ 2,0005,39011.74%
≥ 5,00012,7377.11%
≥ 10,00023,8814.73%

Archives

October 2024 Aggregate Trade

September 2024 Aggregate Trade

August 2024 Aggregate Trade

July 2024 Aggregate Trade

June 2024 Aggregate Trade

May2024 Aggregate Trade

*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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