OCTOBER 2022 MONTHLY AGGREGATE TRADING DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D	57.70%
EMM	23.76%
Agency Algo/SOR	15.08%
LT-PROP	2.89%
S/Access	0.26%
ECN/EXCH	0.22%
HT: Agency	0.08%
HT-Prop	0.00%

Spread Execution Metrics

At Bid/Ask	43.18%
Inside NBBO excluding Midpoint	12.52%
At Midpoint*	44.32%

Average Executed Notional Block Data

>$200K	5.25%
$100K – $200K	3.36%

Platform Latency

p-Value	Microseconds
p0	16
p25	22
p50	24
p75	66
p90	279
p95	444
p99	1,091

Conditional Order Statistics

Median response time 2.393 milliseconds
Average firm-up rate (orders) 79.91%
Conditional percentage of ADV 6.17%

VWAP Order Statistics

VWAP Block ADV 5,075,622
VWAP Block Unique Symbols Traded 3,250
VWAP Slice ADV 15,242,539
VWAP Slice Unique Symbols Traded 3,118

VWAP Executed Volume by Market Cap

Large Cap	58.71%
Mid Cap	29.35%
Small Cap	11.94%

VWAP Executed Symbols by Market Cap

Large Cap	791
Mid Cap	1,157
Small Cap	1,568

VWAP Volume Breakdown

Open to Counterparty	0.04%
Open Only to Self-Match	99.96%

Contra Matched	0%
Self-Matched	100%

Odd Lot Statistics

Odd Lot percentage of ADV 8.81%

LEVEL EXECUTIONS BY TRADE SIZE

Trade Basket	Avg Trade Size	Volume
1 – 499	84	63.46%
500 – 999	636	11.12%
1,000 – 1,999	1,261	9.51%
2,000 – 4,999	2,871	8.44%
5,000 – 9,999	6,379	3.42%
= 10,000	19,652	4.04%

Trade Basket	Avg Trade Size	Volume
All	127	100.00%
= 500	1,273	36.54%
= 1,000	2,264	25.42%
= 2,000	4,320	15.91%
= 5,000	10,057	7.47%
= 10,000	19,652	4.04%

*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