SEPTEMBER 2026 MONTHLY AGGREGATE TRADING DATA
September 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 26.98% |
| Inside NBBO excluding Midpoint | 9.75% |
| At Midpoint* | 63.27% |
Average Executed Notional Block Data
| >$200K | 10.35% |
| $100K – $200K | 4.85% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 19 |
| p50 | 22 |
| p75 | 25 |
| p90 | 30 |
| p95 | 36 |
| p99 | 67 |
Conditional Order Statistics
- Median response time: 0.741milliseconds
- Average firm-up rate (orders): 73.65%
- Conditional percentage of ADV: 2.96
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 92,760,066
- VWAP Block Unique Symbols Traded: 5,444
- VWAP Slice ADV (shares): 54,339,826
- VWAP Slice Unique Symbols Traded: 3,852
Odd Lot Statistics
Odd Lot percentage of ADV 24.07%
Average Trade Size
- 44 shares
VWAP Order Time Percentage
| 1 min – 2 max | 32.08% |
| 1 min – 1 max | 28.70% |
| 5 min – 5 max | 22.37% |
| 1 min – 5 max | 10.38% |
| Other | 6.47% |
VWAP Executed Volume By Market Cap
| Large Cap | 55.44% |
| Mid Cap | 29.20% |
| Small Cap | 15.37% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,252 |
| Mid Cap | 1,356 |
| Small Cap | 2,836 |
VWAP Breakdown
| Open to Counterparty | 50.52% |
| Open Only to Self-Match | 49.48% |
| Contra Matched | 16.29% |
| Self-Matched | 83.71% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 27 | 61.27% |
| 500 – 999 | 654 | 9.82% |
| 1,000 – 1,999 | 1,292 | 8.16% |
| 2,000 – 4,999 | 2,929 | 7.44% |
| 5,000 – 9,999 | 6,766 | 4.33% |
| ≥ 10,000 | 22,425 | 8.99% |
| Trade Basket | Avg Trade Size | Volume |
| All | 44 | 100.00% |
| ≥ 500 | 1,556 | 38.73% |
| ≥ 1,000 | 2,922 | 28.91% |
| ≥ 2,000 | 5,797 | 20.75% |
| ≥ 5,000 | 12,797 | 13.32% |
| ≥ 10,000 | 22,425 | 8.99% |
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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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