FEBRUARY 2025 Monthly Aggregate Trading DATA

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D68.78%
EMM16.24%
Agency Algo/SOR12.97%
LT-PROP1.59%
S/Access0.22%
ECN/EXCH0.12%
HT: Agency0.09%
HT-Prop0.00%

Spread Execution Metrics

At Bid/Ask27.00%
Inside NBBO excluding Midpoint12.04
At Midpoint*60.96%

Average Executed Notional Block Data

>$200K11.26%
$100K – $200K4.18%

Platform Latency

p-ValueMicroseconds
p0 12
p25 16
p50 17
p75 19
p90 24
p95 31
p99 99

Conditional Order Statistics

  • Median response time: 0.917 milliseconds
  • Average firm-up rate (orders): 89.15%
  • Conditional percentage of ADV: 5.46%

VWAP/ Trajectory cross Order Statistics

  • VWAP Block ADV (shares): 53,931,567
  • VWAP Block Unique Symbols Traded: 4,448
  • VWAP Slice ADV (shares): 36,293,045
  • VWAP Slice Unique Symbols Traded: 3,434

VWAP Order Time Percentage

1 min – 2 max69.84%
1 min – 1 max12.74%
5 min – 5 max10.97%
Other6.45%

VWAP Executed Volume By Market CAP

Large Cap56.09%
Mid Cap29.50%
Small Cap14.42%

VWAP Executed Symbols by Market Cap

Large Cap987
Mid Cap1,148
Small Cap2,361

VWAP INFLOW Breakdown

Open to Counterparty25.12%
Open Only to Self-Match74.88%
Contra Matched5.61%
Self-Matched94.39%

Odd lot Statistics

  • Odd Lot percentage of ADV 19.66%

Average Trade Size

  • 50 share

EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4993263.15%
500 – 9996498.79%
1,000 – 1,9991,2907.07%
2,000 – 4,9992,9156.83%
5,000 – 9,9996,7224.28%
≥ 10,00023,3239.87%
Trade BasketAvg Trade SizeVolume
All50100.00%
≥ 5001,64336.85%
≥ 1,0003,15728.06%
≥ 2,0006,16420.99%
≥ 5,00013,35114.16%
≥ 10,00023,3239.87%

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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For Broker Dealer Use Only – Not for Use With the Public – Kezar Trading, LLC Member FINRA and SIPC