June 2025 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D69.96%
EMM15.23%
Agency Algo/SOR12.33%
LT-PROP2.12%
S/Access0.15%
ECN/EXCH0.14%
HT: Agency0.06%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask25.66%
Inside NBBO excluding Midpoint9.59%
At Midpoint*64.75%

Average Executed Notional Block Data

>$200K9.05%
$100K – $200K4.17%

Platform Latency

p-ValueMicroseconds
p0 12
p25 18
p50 19
p75 23
p90 29
p95 39
p99 197

Conditional Order Statistics

  • Median response time: 0.908 milliseconds
  • Average firm-up rate (orders): 87.00%
  • Conditional percentage of ADV: 3.86%

VWAP/Trajectory Cross Order Statistics

  • VWAP Block ADV (shares): 64,867,382
  • VWAP Block Unique Symbols Traded: 4,657
  • VWAP Slice ADV (shares): 39,282,355
  • VWAP Slice Unique Symbols Traded: 3,616

VWAP Order Time Percentage

1 min – 2 max51.09%
1 min – 1 max21.88%
5 min – 5 max11.23%
1 min – 10 max7.70%
1 min – 5 max1.27%
Other6.84%

VWAP Executed Volume By Market Cap

Large Cap54.64%
Mid Cap27.81%
Small Cap17.56%

VWAP Executed Symbols by Market Cap

Large Cap1,032
Mid Cap1,145
Small Cap2,514

VWAP Breakdown

Open to Counterparty39.12%
Open Only to Self-Match60.88%
Contra Matched10.30%
Self-Matched89.70%

Odd Lot Statistics

Odd Lot percentage of ADV 23.95%

Average Trade Size

  • 44 shares

Executions by Trade Size

Trade BasketAvg Trade SizeVolume
1 – 4992964.31%
500 – 9996528.95%
1,000 – 1,9991,2957.33%
2,000 – 4,9992,9366.95%
5,000 – 9,9996,7254.39%
≥ 10,00022,0038.07%
Trade BasketAvg Trade SizeVolume
All44100.00%
≥ 5001,56836.69%
≥ 1,0002,95526.74%
≥ 2,0005,73319.41%
≥ 5,00012,22612.46%
≥ 10,00022.0038.07%

Archives

June 2025 Aggregate Trade Data

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January 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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