June 2026 Monthly Aggregate Trading Data

Spread Execution Metrics

At Bid/Ask24.99%
Inside NBBO excluding Midpoint13.42%
At Midpoint*61.59%

Average Executed Notional Block Data

>$200K10.07%
$100K – $200K4.46%

Platform Latency

p-ValueMicroseconds
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 max42.16%
1 min – 1 max22.79%
5 min – 5 max20.00%
1 min – 5 max10.14%
Other4.91%

VWAP Executed Volume By Market Cap

Large Cap56.98%
Mid Cap28.41%
Small Cap14.61%

VWAP Executed Symbols by Market Cap

Large Cap1,205
Mid Cap1,342
Small Cap2,800

VWAP Breakdown

Open to Counterparty47.29%
Open Only to Self-Match52.71%
Contra Matched11.83%
Self-Matched88.17%

Executions by Trade Size

Trade BasketAvg Trade SizeVolume
1 – 4992662.96%
500 – 9996549.55%
1,000 – 1,9991,2967.86%
2,000 – 4,9992,9186.97%
5,000 – 9,9996,7794.01%
≥ 10,00023,0688.65%
Trade BasketAvg Trade SizeVolume
All41100.00%
≥ 5001,54237.04%
≥ 1,0002,91827.49%
≥ 2,0005,84919.63%
≥ 5,00013,09612.66%
≥ 10,00023,0688.65%

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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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