MAY 2026 MONTHLY AGGREGATE TRADING DATA
May 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 26.63% |
| Inside NBBO excluding Midpoint | 12.17% |
| At Midpoint* | 61.20% |
Average Executed Notional Block Data
| >$200K | 10.41% |
| $100K – $200K | 4.19% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 20 |
| p50 | 23 |
| p75 | 26 |
| p90 | 32 |
| p95 | 39 |
| p99 | 167 |
Conditional Order Statistics
- Median response time: 1.066 milliseconds
- Average firm-up rate (orders): 87.25%
- Conditional percentage of ADV: 3.83
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 127,769,819
- VWAP Block Unique Symbols Traded: 5,047
- VWAP Slice ADV (shares): 45,465,490
- VWAP Slice Unique Symbols Traded: 3,703
Odd Lot Statistics
Odd Lot percentage of ADV 26.27%
Average Trade Size
- 40 shares
VWAP Order Time Percentage
| 1 min – 2 max | 46.76% |
| 1 min – 1 max | 21.04% |
| 5 min – 5 max | 17.55% |
| 1 min – 5 max | 10.14% |
| Other | 4.51% |
VWAP Executed Volume By Market Cap
| Large Cap | 56.65% |
| Mid Cap | 28.59% |
| Small Cap | 14.76% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,154 |
| Mid Cap | 1,298 |
| Small Cap | 2,636 |
VWAP Breakdown
| Open to Counterparty | 43.21% |
| Open Only to Self-Match | 56.79% |
| Contra Matched | 9.67% |
| Self-Matched | 90.33% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 25 | 63.56% |
| 500 – 999 | 656 | 9.34% |
| 1,000 – 1,999 | 1,299 | 7.66% |
| 2,000 – 4,999 | 2,913 | 6.70% |
| 5,000 – 9,999 | 6,750 | 3.97% |
| ≥ 10,000 | 23,583 | 8.77% |
| Trade Basket | Avg Trade Size | Volume |
| All | 40 | 100.00% |
| ≥ 500 | 1,558 | 36.44% |
| ≥ 1,000 | 2,959 | 27.11% |
| ≥ 2,000 | 5,963 | 19.45% |
| ≥ 5,000 | 13,268 | 12.74% |
| ≥ 10,000 | 23,583 | 8.77% |
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*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
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