DECEMBER 2025 MONTHLY AGGREGATE TRADING DATA
December 2025 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 31.44% |
| Inside NBBO excluding Midpoint | 10.17% |
| At Midpoint* | 58.39% |
Average Executed Notional Block Data
| >$200K | 7.08% |
| $100K – $200K | 3.78% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 19 |
| p50 | 21 |
| p75 | 24 |
| p90 | 31 |
| p95 | 44 |
| p99 | 215 |
Conditional Order Statistics
- Median response time: 0.906 milliseconds
- Average firm-up rate (orders): 88.06%
- Conditional percentage of ADV: 2.94
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 81,602,593
- VWAP Block Unique Symbols Traded: 4,803
- VWAP Slice ADV (shares): 34,368,152
- VWAP Slice Unique Symbols Traded: 3,719
Odd Lot Statistics
Odd Lot percentage of ADV 24.92%
Average Trade Size
- 46 shares
VWAP Order Time Percentage
| 1 min – 2 max | 46.63% |
| 1 min – 1 max | 25.66% |
| 5 min – 5 max | 15.50% |
| 1 min – 5 max | 6.57% |
| Other | 5.65% |
VWAP Executed Volume By Market Cap
| Large Cap | 57.31% |
| Mid Cap | 27.34% |
| Small Cap | 15.34% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,078 |
| Mid Cap | 1,223 |
| Small Cap | 2,553 |
VWAP Breakdown
| Open to Counterparty | 41.85% |
| Open Only to Self-Match | 58.15% |
| Contra Matched | 9.97% |
| Self-Matched | 90.03% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 31 | 67.65% |
| 500 – 999 | 655 | 9.06% |
| 1,000 – 1,999 | 1,297 | 7.31% |
| 2,000 – 4,999 | 2,909 | 6.38% |
| 5,000 – 9,999 | 6,680 | 3.41% |
| ≥ 10,000 | 22,361 | 6.19% |
| Trade Basket | Avg Trade Size | Volume |
| All | 46 | 100.00% |
| ≥ 500 | 1,442 | 32.35% |
| ≥ 1,000 | 2,703 | 23.29% |
| ≥ 2,000 | 5,364 | 15.98% |
| ≥ 5,000 | 12,195 | 9.61% |
| ≥ 10,000 | 22,361 | 6.19% |
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