Weekly Highlights
More than half way through the month, August is shaping up as our fifth straight month in a row setting average daily market-share records versus the TCV.
During this five-month window, we have experienced both periods of stability with lower liquidity–such as early April, June, and August–and spikes in volume and volatility–such as late April-May, and mid-June. In all kinds of market conditions, spread improvement and post-trade stability help algo benchmark performance.
Orders displayed on our free market data feed, IQX, have improved the NBBO over 13mm times per day since the beginning of April– saving subscribers around 30% of the spread, with post-trade markouts less than half that of exchange averages.
Please contact the desk for more information on our weekly data or to connect to IQX – it's available directly or through Exegy, MayStreet, Redline, and ACTIV.
Displayed Quote Stats
5-days through 08/19/22
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 7338 | 36.5% | 29.9% |
ETF | 1411 | 44.1% | 27.9% |
LARGE CAP | 818 | 34.0% | 31.3% |
MID CAP | 1208 | 31.8% | 31.3% |
OTHER | 112 | 44.8% | 33.9% |
SMALL CAP | 3790 | 26.2% | 32.4% |
Top Symbols
ADR
| HLN | 1,855,667 |
| TME | 1,446,539 |
| ABEV | 1,353,639 |
ETF
| TQQQ | 1,594,703 |
| SQQQ | 1,120,321 |
| XLF | 1,064,284 |
Large Cap
| NU | 2,926,399 |
| SNAP | 2,483,688 |
| AMZN | 2,083,477 |
Smid Cap
| BBBY | 4,084,295 |
| TLRY | 2,695,758 |
| ENDP | 2,397,298 |
Trading Information
5-days through 08/19/22
5-days through 08/19/22 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 92.7 | 82 | 100 | 240 | 6225 |
Smid Cap | 93.8 | 86.8 | 100 | 230 | 4314 |
Large Cap | 90.8 | 75.1 | 90 | 130 | 708 |
ETF | 94.9 | 83.2 | 180 | 340 | 699 |
ADR | 95.6 | 88.3 | 150 | 310 | 339 |
Percent Names Traded by Share Group
SMID_CAP
LARGE_CAP
ADR
ETF
OTHER