Daily Displayed Highlights
5-days through 03/10/23
6.8 million | Orders priced better than the NBBO on arrival |
7403 | Unique displayed securities |
29.9% | 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
We're pleased to share an exciting press release about Pico Analyzing ASPEN Fee/Fee Price Improvement performance. Pico has analyzed our displayed liquidity and found that IntelligentCross improves SP500 NBBO by 2.5bps and Russell 3000 by 10bps for a meaningful portion of the day. Check out the full results here: Pico Analyzes IntelligentCross ASPEN Price Improvement.
Among the key findings of the report are the following: For ASPEN Fee/Fee orders in S&P 500 stocks, analysis shows that displayed bids and offers were available on average over 96% of the time. Displayed quotations were available strictly inside the NBB/NBO more than 12% of the time, with an average improvement of over 2.5 basis points. For orders in Russell 3000 stocks and top 100 ETFs, displayed bids and offers were available over 95% of the time. And displayed bids and offers strictly inside the NBB/NBO were available over 9% of the time, with an average improvement of over 10 basis points.
If you're not already using our platform to optimize your trading performance, we encourage you to get in touch. Our displayed quotes are available through our market data feed, IQX, which can be accessed directly or through Exegy, MayStreet, Redline, and ACTIV.
Displayed Quote Stats
5-days through 03/10/23
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 7403 | 27.3% | 29.9% |
ETF | 1268 | 28.5% | 29.7% |
LARGE CAP | 790 | 26.0% | 29.4% |
MID CAP | 1168 | 26.4% | 29.5% |
OTHER | 492 | 88.7% | 42.2% |
SMALL CAP | 3686 | 22.8% | 30.2% |
Top Symbols
ADR
| NIO | 2,975,772 |
| BBD | 2,838,984 |
| VALE | 2,228,542 |
ETF
| XLF | 4,973,603 |
| SPY | 3,763,719 |
| HYG | 2,434,713 |
Large Cap
| BAC | 7,095,951 |
| RIVN | 4,922,904 |
| SNAP | 4,076,843 |
Smid Cap
| MULN | 5,746,213 |
| TRKA | 3,565,520 |
| LUMN | 3,266,606 |
Trading Information
5-days through 03/10/23
5-days through 03/10/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 92.2 | 81.5 | 100 | 220 | 6850 |
Smid Cap | 93.4 | 87 | 90 | 190 | 4390 |
ETF | 93.9 | 78.6 | 170 | 380 | 1100 |
Large Cap | 89.7 | 73.6 | 90 | 130 | 691 |
ADR | 95.8 | 88.9 | 140 | 250 | 334 |
Percent Names Traded by Share Group
SMID_CAP
LARGE_CAP
ADR
OTHER
ETF