JANUARY 2026 MONTHLY AGGREGATE TRADING DATA
January 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 31.85% |
| Inside NBBO excluding Midpoint | 11.10% |
| At Midpoint* | 57.06% |
Average Executed Notional Block Data
| >$200K | 7.85% |
| $100K – $200K | 3.83% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 18 |
| p50 | 21 |
| p75 | 24 |
| p90 | 29 |
| p95 | 39 |
| p99 | 164 |
Conditional Order Statistics
- Median response time: 0.915 milliseconds
- Average firm-up rate (orders): 87.27%
- Conditional percentage of ADV: 3.41
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 104,532,007
- VWAP Block Unique Symbols Traded: 4,772
- VWAP Slice ADV (shares): 38,808,787
- VWAP Slice Unique Symbols Traded: 3,657
Odd Lot Statistics
Odd Lot percentage of ADV 23.42%
Average Trade Size
- 48 shares
VWAP Order Time Percentage
| 1 min – 2 max | 49.00% |
| 1 min – 1 max | 24.26% |
| 5 min – 5 max | 13.31% |
| 1 min – 5 max | 7.93% |
| Other | 5.51% |
VWAP Executed Volume By Market Cap
| Large Cap | 59.31% |
| Mid Cap | 27.64% |
| Small Cap | 13.05% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,113 |
| Mid Cap | 1,258 |
| Small Cap | 2,465 |
VWAP Breakdown
| Open to Counterparty | 40.65% |
| Open Only to Self-Match | 59.35% |
| Contra Matched | 8.79% |
| Self-Matched | 91.21% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 32 | 65.77% |
| 500 – 999 | 654 | 9.47% |
| 1,000 – 1,999 | 1,295 | 7.64% |
| 2,000 – 4,999 | 2,919 | 6.63% |
| 5,000 – 9,999 | 6,675 | 3.59% |
| ≥ 10,000 | 22,657 | 6.88% |
| Trade Basket | Avg Trade Size | Volume |
| All | 48 | 100.00% |
| ≥ 500 | 1,457 | 34.23% |
| ≥ 1,000 | 2,745 | 24.75% |
| ≥ 2,000 | 5,492 | 17.11% |
| ≥ 5,000 | 12,436 | 10.47% |
| ≥ 10,000 | 22,657 | 6.88% |
Archives
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here
Figures may not total to 100% due to rounding
Definition of terms and additional disclosures click here
For Broker Dealer Use Only – Not for Use With the Public – LeveL Markets, LLC Member FINRA and SIPC