July 2025 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D66.33%
EMM17.01%
Agency Algo/SOR13.65%
LT-PROP2.65%
S/Access0.17%
ECN/EXCH0.14%
HT: Agency0.06%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask27.97%
Inside NBBO excluding Midpoint11.08%
At Midpoint*60.95%

Average Executed Notional Block Data

>$200K8.07%
$100K – $200K3.82%

Platform Latency

p-ValueMicroseconds
p0 12
p25 18
p50 19
p75 22
p90 28
p95 36
p99 111

Conditional Order Statistics

  • Median response time: 0.904 milliseconds
  • Average firm-up rate (orders): 85.92%
  • Conditional percentage of ADV: 4.08%

VWAP/Trajectory Cross Order Statistics

  • VWAP Block ADV (shares): 66,172,005
  • VWAP Block Unique Symbols Traded: 4,686
  • VWAP Slice ADV (shares): 35,780,087
  • VWAP Slice Unique Symbols Traded: 3,662

VWAP Order Time Percentage

1 min – 2 max50.35%
1 min – 1 max22.57%
5 min – 5 max9.91%
1 min – 10 max7.84%
1 min – 5 max1.78%
Other7.56%

VWAP Executed Volume By Market Cap

Large Cap55.14%
Mid Cap27.85%
Small Cap17.01%

VWAP Executed Symbols by Market Cap

Large Cap1,031
Mid Cap1,143
Small Cap2,556

VWAP Breakdown

Open to Counterparty35.85%
Open Only to Self-Match64.15%
Contra Matched11.34%
Self-Matched88.66%

Odd Lot Statistics

Odd Lot percentage of ADV 23.52%

Average Trade Size

  • 47 shares

Executions by Trade Size

Trade BasketAvg Trade SizeVolume
1 – 4993165.83%
500 – 9996518.83%
1,000 – 1,9991,2877.41%
2,000 – 4,9992,9186.62%
5,000 – 9,9996,7374.08%
≥ 10,00021,9217.23%
Trade BasketAvg Trade SizeVolume
All47100.00%
≥ 5001,51834.17%
≥ 1,0002,82625.34%
≥ 2,0005,59417.93%
≥ 5,00012,09011.30%
≥ 10,00021,9217.23%

Archives

July 2025 Aggregate Trade Data

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April 2025 Aggregate Trade Data

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March 2025 Aggregate Trade Data

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February 2025 Aggregate Trade Data

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