March 2025 Monthly Aggregate Trading DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D71.03%
EMM15.35%
Agency Algo/SOR11.53%
LT-PROP1.56%
S/Access0.32%
ECN/EXCH0.13%
HT: Agency0.07%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask25.10%
Inside NBBO excluding Midpoint10.80
At Midpoint*64.10%

Average Executed Notional Block Data

>$200K11.13%
$100K – $200K4.54%

Platform Latency

p-ValueMicroseconds
p0 12
p25 17
p50 19
p75 22
p90 29
p95 44
p99 291

Conditional Order Statistics

  • Median response time: 0.914 milliseconds
  • Average firm-up rate (orders): 89.49%
  • Conditional percentage of ADV: 4.60%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 61,943,655
  • VWAP Block Unique Symbols Traded: 4,535
  • VWAP Slice ADV (shares): 44,247,804
  • VWAP Slice Unique Symbols Traded: 3,543

VWAP Order Time Percentage

1 min – 2 max63.12%
1 min – 1 max18.24%
5 min – 5 max11.68%
Other6.96%

VWAP Executed Volume By Market Cap

Large Cap55.26%
Mid Cap29.57%
Small Cap15.17%

VWAP Executed Symbols by Market Cap

Large Cap987
Mid Cap1,159
Small Cap2,438

VWAP Inflow Breakdown

Open to Counterparty27.21%
Open Only to Self-Match72.79%
Contra Matched7.17%
Self-Matched92.83%

Odd lot Statistics

  • Odd Lot percentage of ADV 20.28%

Average Trade Size

  • 53 shares

Executions by Trade Size

Trade BasketAvg Trade SizeVolume
1 – 4993361.91%
500 – 9996509.01%
1,000 – 1,9991,2977.25%
2,000 – 4,9992,9507.01%
5,000 – 9,9996,7254.54%
≥ 10,00023,18710.28%
Trade BasketAvg Trade SizeVolume
All53100.00%
≥ 5001,66038.09%
≥ 1,0003,20129.08%
≥ 2,0006,24621.83%
≥ 5,00013,24514.82%
≥ 10,00023,18710.28%

Archives

March 2025 Aggregate Trade Data

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February 2025 Aggregate Trade Data

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January 2025 Aggregate Trade Data

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December 2024 Aggregate Trade

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November 2024 Aggregate Trade

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October 2024 Aggregate Trade

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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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