JULY 2026 MONTHLY AGGREGATE TRADING DATA
July 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 27.16% |
| Inside NBBO excluding Midpoint | 12.89% |
| At Midpoint* | 59.95% |
Average Executed Notional Block Data
| >$200K | 8.61% |
| $100K – $200K | 4.28% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 19 |
| p50 | 22 |
| p75 | 26 |
| p90 | 32 |
| p95 | 40 |
| p99 | 162 |
Conditional Order Statistics
- Median response time: 0.786 milliseconds
- Average firm-up rate (orders): 75.86%
- Conditional percentage of ADV: 3.46
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 124,267,669
- VWAP Block Unique Symbols Traded: 5,312
- VWAP Slice ADV (shares): 47,696,802
- VWAP Slice Unique Symbols Traded: 3,787
Odd Lot Statistics
Odd Lot percentage of ADV 26.13%
Average Trade Size
- 40 shares
VWAP Order Time Percentage
| 1 min – 2 max | 47.21% |
| 1 min – 1 max | 23.68% |
| 5 min – 5 max | 14.44% |
| 1 min – 5 max | 9.86% |
| Other | 4.80% |
VWAP Executed Volume By Market Cap
| Large Cap | 55.75% |
| Mid Cap | 29.72% |
| Small Cap | 14.53% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,187 |
| Mid Cap | 1,329 |
| Small Cap | 2,796 |
VWAP Breakdown
| Open to Counterparty | 48.66% |
| Open Only to Self-Match | 51..34% |
| Contra Matched | 12.92% |
| Self-Matched | 87.08% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 26 | 64.65% |
| 500 – 999 | 654 | 9.83% |
| 1,000 – 1,999 | 1,293 | 7.83% |
| 2,000 – 4,999 | 2,915 | 6.60% |
| 5,000 – 9,999 | 6,748 | 3.69% |
| ≥ 10,000 | 22,815 | 7.14% |
| Trade Basket | Avg Trade Size | Volume |
| All | 40 | 100.00% |
| ≥ 500 | 1,460 | 35.35% |
| ≥ 1,000 | 2,778 | 25.52% |
| ≥ 2,000 | 5,643 | 17.70% |
| ≥ 5,000 | 12,735 | 11.10% |
| ≥ 10,000 | 22,815 | 7.14% |
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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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