Daily Displayed Highlights
5-days through 01/27/23
7.0 million | Orders priced better than the NBBO on arrival |
8239 | Unique displayed securities |
30.3% | Tighter spreads than the NBBO when ASPEN has the best quote |
1.3 bps | Lower adverse selection than maker/taker exchange avg at 20ms |
Weekly Highlights
January closed as our best month for average daily match volume – one of several new records for the platform! This month we also set records for daily match quantity of demi-block or larger (starting at 2000 shares), shares executed through IOC order type, and IOC hit-rates–including Midpoint IOCs.
January also was our third-best month ever for average daily match totals of shares displayed on our free market data feed, IQX.
This growth suggests that IntelligentCross ASPEN Fee/Fee and Midpoint are providing value on both sides of the liquidity spectrum.
This is possible because of our unique spread-saving liquidity. For January, marketable IOC orders in ASPEN Fee/Fee executed better than the spread over 15% of the time, resulting in 3 bps of spread savings. Passive-peg orders filled at prices better than the passive-side arrival over 24% of the time, representing more than 7 bps savings versus the initial passive-side price.
If you’re not using our platform to fully unlock trading performance, get in touch. Our displayed quotes are available via our free market data feed, IQX. 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 01/27/23
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 8239 | 30.0% | 30.3% |
ETF | 1954 | 33.1% | 29.4% |
LARGE CAP | 825 | 27.8% | 31.6% |
MID CAP | 1187 | 28.3% | 29.7% |
OTHER | 491 | 80.7% | 38.1% |
SMALL CAP | 3784 | 23.1% | 29.7% |
Top Symbols
ADR
| LU | 3,797,852 |
| BBD | 3,088,441 |
| NOK | 2,641,923 |
ETF
| SPY | 3,000,111 |
| HYG | 1,683,753 |
| FXI | 1,633,002 |
Large Cap
| T | 4,112,324 |
| INTC | 3,757,159 |
| TSLA | 3,733,418 |
Smid Cap
| XELA | 24,147,891 |
| FFIE | 2,260,430 |
| GMBL | 2,063,141 |
Trading Information
5-days through 01/27/23
5-days through 01/27/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 91.8 | 81.5 | 100 | 230 | 6922 |
Smid Cap | 93.1 | 86.9 | 100 | 220 | 4336 |
ETF | 93.8 | 79.8 | 140 | 330 | 1225 |
Large Cap | 89.7 | 74.9 | 90 | 130 | 706 |
ADR | 95.2 | 89.1 | 130 | 290 | 351 |
Percent Names Traded by Share Group
LARGE_CAP
SMID_CAP
ADR
ETF
OTHER