MARCH 2026 MONTHLY AGGREGATE TRADING DATA
March 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 31.05% |
| Inside NBBO excluding Midpoint | 10.70% |
| At Midpoint* | 58.25% |
Average Executed Notional Block Data
| >$200K | 9.27% |
| $100K – $200K | 4.44% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 19 |
| p50 | 22 |
| p75 | 25 |
| p90 | 31 |
| p95 | 39 |
| p99 | 215 |
Conditional Order Statistics
- Median response time: 1.059 milliseconds
- Average firm-up rate (orders): 87.66%
- Conditional percentage of ADV: 2.96
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 116,772,637
- VWAP Block Unique Symbols Traded: 5,005
- VWAP Slice ADV (shares): 43,465,378
- VWAP Slice Unique Symbols Traded: 3,767
Odd Lot Statistics
Odd Lot percentage of ADV 23.91%
Average Trade Size
- 43 shares
VWAP Order Time Percentage
| 1 min – 2 max | 44.15% |
| 1 min – 1 max | 22.75% |
| 5 min – 5 max | 18.95% |
| 1 min – 5 max | 9.24% |
| Other | 4.92% |
VWAP Executed Volume By Market Cap
| Large Cap | 55.80% |
| Mid Cap | 28.41% |
| Small Cap | 15.79% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,104 |
| Mid Cap | 1,293 |
| Small Cap | 2,655 |
VWAP Breakdown
| Open to Counterparty | 39.44% |
| Open Only to Self-Match | 60.56% |
| Contra Matched | 9.62% |
| Self-Matched | 90.38% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 28 | 63.84% |
| 500 – 999 | 655 | 9.35% |
| 1,000 – 1,999 | 1,300 | 7.73% |
| 2,000 – 4,999 | 2,937 | 7.03% |
| 5,000 – 9,999 | 6,755 | 4.00% |
| ≥ 10,000 | 23,094 | 8.05% |
| Trade Basket | Avg Trade Size | Volume |
| All | 43 | 100.00% |
| ≥ 500 | 1,535 | 36.16% |
| ≥ 1,000 | 2,889 | 26.82% |
| ≥ 2,000 | 5,725 | 19.08% |
| ≥ 5,000 | 12,810 | 12.06% |
| ≥ 10,000 | 23,094 | 8.05% |
Archives
*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
For Broker Dealer Use Only – Not for Use With the Public – LeveL Markets, LLC Member FINRA and SIPC