JUNE 2026 MONTHLY AGGREGATE TRADING DATA
June 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 24.99% |
| Inside NBBO excluding Midpoint | 13.42% |
| At Midpoint* | 61.59% |
Average Executed Notional Block Data
| >$200K | 10.07% |
| $100K – $200K | 4.46% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 20 |
| p50 | 22 |
| p75 | 26 |
| p90 | 33 |
| p95 | 44 |
| p99 | 310 |
Conditional Order Statistics
- Median response time: 0.981 milliseconds
- Average firm-up rate (orders): 86.00%
- Conditional percentage of ADV: 3.14
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 125,217,709
- VWAP Block Unique Symbols Traded: 5,312
- VWAP Slice ADV (shares): 53,772,028
- VWAP Slice Unique Symbols Traded: 3,876
Odd Lot Statistics
Odd Lot percentage of ADV 25.44%
Average Trade Size
- 41 shares
VWAP Order Time Percentage
| 1 min – 2 max | 42.16% |
| 1 min – 1 max | 22.79% |
| 5 min – 5 max | 20.00% |
| 1 min – 5 max | 10.14% |
| Other | 4.91% |
VWAP Executed Volume By Market Cap
| Large Cap | 56.98% |
| Mid Cap | 28.41% |
| Small Cap | 14.61% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,205 |
| Mid Cap | 1,342 |
| Small Cap | 2,800 |
VWAP Breakdown
| Open to Counterparty | 47.29% |
| Open Only to Self-Match | 52.71% |
| Contra Matched | 11.83% |
| Self-Matched | 88.17% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 26 | 62.96% |
| 500 – 999 | 654 | 9.55% |
| 1,000 – 1,999 | 1,296 | 7.86% |
| 2,000 – 4,999 | 2,918 | 6.97% |
| 5,000 – 9,999 | 6,779 | 4.01% |
| ≥ 10,000 | 23,068 | 8.65% |
| Trade Basket | Avg Trade Size | Volume |
| All | 41 | 100.00% |
| ≥ 500 | 1,542 | 37.04% |
| ≥ 1,000 | 2,918 | 27.49% |
| ≥ 2,000 | 5,849 | 19.63% |
| ≥ 5,000 | 13,096 | 12.66% |
| ≥ 10,000 | 23,068 | 8.65% |
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*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
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