May 2025 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D71.28%
EMM14.60%
Agency Algo/SOR11.78%
LT-PROP1.89%
S/Access0.23%
ECN/EXCH0.14%
HT: Agency0.07%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask25.88%
Inside NBBO excluding Midpoint10.46%
At Midpoint*63.66%

Average Executed Notional Block Data

>$200K9.02%
$100K – $200K4.20%

Platform Latency

p-ValueMicroseconds
p0 12
p25 18
p50 20
p75 23
p90 30
p95 42
p99 279

Conditional Order Statistics

  • Median response time: 0.946 milliseconds
  • Average firm-up rate (orders): 90.75%
  • Conditional percentage of ADV: 4.45%

VWAP/Trajectory Cross Order Statistics

  • VWAP Block ADV (shares): 63,065,080
  • VWAP Block Unique Symbols Traded: 4,564
  • VWAP Slice ADV (shares): 45,502,828
  • VWAP Slice Unique Symbols Traded: 3,558

VWAP Order Time Percentage

1 min – 2 max51.89%
1 min – 1 max19.95%
5 min – 5 max12.90%
1 min – 10 max6.72%
1 min – 5 max1.01%
Other7.53%

VWAP Executed Volume By Market Cap

Large Cap53.88%
Mid Cap28.31%
Small Cap17.81%

VWAP Executed Symbols by Market Cap

Large Cap1,033
Mid Cap1,138
Small Cap2,441

VWAP Breakdown

Open to Counterparty49.38%
Open Only to Self-Match50.62%
Contra Matched8.64%
Self-Matched91.36%

Odd Lot Statistics

Odd Lot percentage of ADV 22.96%

Average Trade Size

  • 48 shares

Executions by Trade Size

Trade BasketAvg Trade SizeVolume
1 – 4993163.85%
500 – 9996519.54%
1,000 – 1,9991,2897.30%
2,000 – 4,9992,9186.53%
5,000 – 9,9996,7354.11%
≥ 10,00023,2138.68%
Trade BasketAvg Trade SizeVolume
All48100.00%
≥ 5001,53636.15%
≥ 1,0002,99626.61%
≥ 2,0005,99719.31%
≥ 5,00012,99512.79%
≥ 10,00023,2138.68%

Archives

May 2025 Aggregate Trade Data

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April 2025 Aggregate Trade Data

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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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*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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