August 2026 MONTHLY AGGREGATE TRADING DATA
August 2026 Monthly Aggregate Trading Data
Spread Execution Metrics
| At Bid/Ask | 28.28% |
| Inside NBBO excluding Midpoint | 10.77% |
| At Midpoint* | 60.95% |
Average Executed Notional Block Data
| >$200K | 8.98% |
| $100K – $200K | 4.36% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 12 |
| p25 | 19 |
| p50 | 22 |
| p75 | 25 |
| p90 | 31 |
| p95 | 36 |
| p99 | 82 |
Conditional Order Statistics
- Median response time: 0.717 milliseconds
- Average firm-up rate (orders): 74.15%
- Conditional percentage of ADV: 3.13
VWAP/Trajectory Cross Order Statistics
- VWAP Block ADV (shares): 117,345,112
- VWAP Block Unique Symbols Traded: 5,294
- VWAP Slice ADV (shares): 48,678,586
- VWAP Slice Unique Symbols Traded: 3,844
Odd Lot Statistics
Odd Lot percentage of ADV 25.98%
Average Trade Size
- 40 shares
VWAP Order Time Percentage
| 1 min – 2 max | 45.31% |
| 1 min – 1 max | 23.79% |
| 5 min – 5 max | 15.62% |
| 1 min – 5 max | 9.96% |
| Other | 5.32% |
VWAP Executed Volume By Market Cap
| Large Cap | 54.09% |
| Mid Cap | 30.78% |
| Small Cap | 15.13% |
VWAP Executed Symbols by Market Cap
| Large Cap | 1,209 |
| Mid Cap | 1,384 |
| Small Cap | 2,701 |
VWAP Breakdown
| Open to Counterparty | 47.75% |
| Open Only to Self-Match | 52.25% |
| Contra Matched | 13.93% |
| Self-Matched | 86.07% |
Executions by Trade Size
| Trade Basket | Avg Trade Size | Volume |
| 1 – 499 | 26 | 64.12% |
| 500 – 999 | 653 | 9.55% |
| 1,000 – 1,999 | 1,292 | 7.74% |
| 2,000 – 4,999 | 2,909 | 6.75% |
| 5,000 – 9,999 | 6,740 | 3.90% |
| ≥ 10,000 | 22,202 | 7.93% |
| Trade Basket | Avg Trade Size | Volume |
| All | 40 | 100.00% |
| ≥ 500 | 1,502 | 35.88% |
| ≥ 1,000 | 2,846 | 26.33% |
| ≥ 2,000 | 5,705 | 18.58% |
| ≥ 5,000 | 12,644 | 11.83% |
| ≥ 10,000 | 22,202 | 7.93% |
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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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