OCTOBER 2024 Monthly Aggregate Trading DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D71.41%
EMM14.69%
Agency Algo/SOR12.23%
LT-PROP1.38%
ECN/EXCH0.12%
HT: Agency0.11%
S/Access0.06%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask29.73%
Inside NBBO excluding Midpoint9.83%
At Midpoint*60.45%

Average Executed Notional Block Data

>$200K11.95%
$100K – $200K4.36%

Platform Latency

p-ValueMicroseconds
p0 12
p25 16
p50 16
p75 18
p90 21
p95 24
p99 36

Conditional Order Statistics

  • Median response time: 1.006 milliseconds
  • Average firm-up rate (orders): 88.95%
  • Conditional percentage of ADV: 5.51%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 37,868,657
  • VWAP Block Unique Symbols Traded: 4,214
  • VWAP Slice ADV (shares): 21,707,398
  • VWAP Slice Unique Symbols Traded: 3,252

VWAP Order Time Percentage

1 min – 2 max83.80%
5 min – 5 max5.71%
1 min – 1 max5.46%
Other4.78%

VWAP Executed Volume By Market CAP

Large Cap56.32%
Mid Cap30.13%
Small Cap13.55%

VWAP Executed Symbols by Market Cap

Large Cap1,012
Mid Cap1,183
Small Cap2,060

VWAP INFLOW Breakdown

Open to Counterparty21.41%
Open Only to Self-Match78.59%
Contra Matched1.84%
Self-Matched98.16%

Odd lot Statistics

  • Odd Lot percentage of ADV 19.84%

Average Trade Size

  • 45 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4992862.19%
500 – 9996488.93%
1,000 – 1,9991,2917.50%
2,000 – 4,9992,9347.05%
5,000 – 9,9996,7514.68%
≥ 10,00022,5039.65%
Trade BasketAvg Trade SizeVolume
All45100.00%
≥ 5001,63637.81%
≥ 1,0003,09428.88%
≥ 2,0006,06521.38%
≥ 5,00012,77314.33%
≥ 10,00022,5039.65%

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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