Weekly Highlights

• Despite last week’s roller-coaster conditions in both the market and VIX, trading frictions such as spread, liquidity, and stability did not really change from September levels.

• However, the average trade size in the market ticked up from the previous month by approximately 5%, to around 125 shares across the most widely traded 3000 names including ETFs. Larger trade sizes help mitigate some of the costs of higher volatility and wider spreads we have seen since August. Despite the gyrations, post-trade quote stability hovered towards the top of its recent range last week.

• One way we see subscribers effectively source liquidity and take advantage of these larger trade sizes is through ‘reload’. Subscribers who send follow-up orders upon completion of an earlier one experience much higher hit rates than the platform average, peaking in the very short interval of 100ms but remaining elevated out to at least one half-second from the last full fill.

• Reload orders tend to be for larger sizes than the originals, and the average size fill is above the platform average as well. But the best news is that reload trades tend to have similar post-trade performance to the platform as a whole. Continuing to provide an environment of accessible and high-performance liquidity even during difficult markets has helped keep us #3 among the ATS listings for trading in Tier 1 NMS securities for six straight reporting weeks, according to the most recent FINRA ATS statistics.

• If you’re not using our platform to unlock trading performance, get in touch. 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.