APRIL 2026 MONTHLY AGGREGATE TRADING DATA
April 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 30.65% |
| Inside NBBO excluding Midpoint | 11.10% |
| At Midpoint* | 58.25% |
Average Executed Notional Block Data
| >$200K | 9.07% |
| $100K – $200K | 4.16% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 20 |
| p50 | 22 |
| p75 | 25 |
| p90 | 30 |
| p95 | 37 |
| p99 | 124 |
Conditional Order Statistics
- Median response time: 1.104 milliseconds
- Average firm-up rate (orders): 88.15%
- Conditional percentage of ADV: 3.47
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 114,889,280
- VWAP Block Unique Symbols Traded: 5,041
- VWAP Slice ADV (shares): 40,496,193
- VWAP Slice Unique Symbols Traded: 3,671
Odd Lot Statistics
Odd Lot percentage of ADV 25.54%
Average Trade Size
- 41 shares
VWAP Order Time Percentage
| 1 min – 2 max | 49.07% |
| 1 min – 1 max | 20.71% |
| 5 min – 5 max | 14.94% |
| 1 min – 5 max | 10.63% |
| Other | 4.66% |
VWAP Executed Volume By Market Cap
| Large Cap | 58.53% |
| Mid Cap | 28.37% |
| Small Cap | 13.09% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,142 |
| Mid Cap | 1,303 |
| Small Cap | 2,628 |
VWAP Breakdown
| Open to Counterparty | 42.79% |
| Open Only to Self-Match | 57.21% |
| Contra Matched | 9.21% |
| Self-Matched | 90.79% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 27 | 64.63% |
| 500 – 999 | 653 | 9.36% |
| 1,000 – 1,999 | 1,299 | 7.64% |
| 2,000 – 4,999 | 2,910 | 56.68% |
| 5,000 – 9,999 | 6,706 | 4.02% |
| ≥ 10,000 | 22,728 | 7.67% |
| Trade Basket | Avg Trade Size | Volume |
| All | 41 | 100.00% |
| ≥ 500 | 1,509 | 35.37% |
| ≥ 1,000 | 2,853 | 26.01% |
| ≥ 2,000 | 5,684 | 18.37% |
| ≥ 5,000 | 12.475 | 11.69% |
| ≥ 10,000 | 22,728 | 7.67% |
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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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