SEPTEMBER 2025 MONTHLY AGGREGATE TRADING DATA
September 2025 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 29.89% |
| Inside NBBO excluding Midpoint | 9.57% |
| At Midpoint* | 60.54% |
Average Executed Notional Block Data
| >$200K | 8.38% |
| $100K – $200K | 3.93% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 18 |
| p50 | 19 |
| p75 | 23 |
| p90 | 31 |
| p95 | 41 |
| p99 | 188 |
Conditional Order Statistics
- Median response time: 0.960 milliseconds
- Average firm-up rate (orders): 87.50%
- Conditional percentage of ADV: 3.45
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 80,181,989
- VWAP Block Unique Symbols Traded: 4,856
- VWAP Slice ADV (shares): 41,347,472
- VWAP Slice Unique Symbols Traded: 3,724
Odd Lot Statistics
Odd Lot percentage of ADV 22.86%
Average Trade Size
- 49 shares
VWAP Order Time Percentage
| 1 min – 2 max | 45.28% |
| 1 min – 1 max | 24.71% |
| 5 min – 5 max | 13.78% |
| 1 min – 5 max | 9.41% |
| Other | 6.82% |
VWAP Executed Volume By Market Cap
| Large Cap | 56.56% |
| Mid Cap | 29.49% |
| Small Cap | 13.95% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,075 |
| Mid Cap | 1,233 |
| Small Cap | 2,612 |
VWAP Breakdown
| Open to Counterparty | 44.46% |
| Open Only to Self-Match | 55.54% |
| Contra Matched | 10.97% |
| Self-Matched | 89.03% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 32 | 64.86% |
| 500 – 999 | 654 | 9.26% |
| 1,000 – 1,999 | 1,289 | 7.45% |
| 2,000 – 4,999 | 2,923 | 6.71% |
| 5,000 – 9,999 | 6,735 | 3.97% |
| ≥ 10,000 | 23,628 | 7.74% |
| Trade Basket | Avg Trade Size | Volume |
| All | 49 | 100.00% |
| ≥ 500 | 1,516 | 35.14% |
| ≥ 1,000 | 2,872 | 25.88% |
| ≥ 2,000 | 5,709 | 18.43% |
| ≥ 5,000 | 12,567 | 11.72% |
| ≥ 10,000 | 22.628 | 7.74% |
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