Daily Displayed Highlights
5-days through 04/28/23
4.6 million | Orders priced better than the NBBO on arrival |
7078 | Unique displayed securities |
31.1% | Tighter spreads than the NBBO when ASPEN has the best quote |
1.4 bps | Lower adverse selection than maker/taker exchange avg at 20ms |
Weekly Highlights
The recent market-wide trend towards higher post-trade quote stability showed some signs of plateauing and possibly reversing last week, especially towards the later half. Coming with slight upticks in spread and instability were also declines in median trade size and quote duration as earnings-related news slightly increased trading costs. This week's Fed announcement could likely mean that this week will pick up where last week ended.
Against that backdrop, ASPEN Fee/Fee had its best week of the year in terms of overall hit rate, and the platform had its best ever weekly IOC order type hit rate. This was driven by a new record in daily match quantity of orders displayed on our free market data feed, IQX. Even with the general uptick in trading frictions, orders displayed on IQX still had average resting times of greater than 6 seconds and prices better than the NBBO on arrival over 6 million times per day.
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 04/28/23
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 7078 | 15.8% | 31.1% |
ETF | 1294 | 10.9% | 30.2% |
LARGE CAP | 785 | 19.4% | 31.8% |
MID CAP | 1132 | 19.7% | 30.6% |
OTHER | 483 | 76.8% | 37.3% |
SMALL CAP | 3385 | 14.3% | 30.5% |
Top Symbols
ADR
| VALE | 2,951,368 |
| NIO | 2,801,089 |
| LU | 2,333,536 |
ETF
| XLF | 2,968,387 |
| SPY | 2,767,607 |
| TQQQ | 1,919,583 |
Large Cap
| SNAP | 5,084,884 |
| AMZN | 4,871,191 |
| F | 4,750,115 |
Smid Cap
| MULN | 17,037,631 |
| BBBY | 10,720,162 |
| FRC | 6,767,609 |
Trading Information
5-days through 04/28/23
5-days through 04/28/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 92.7 | 84 | 90 | 230 | 6979 |
Smid Cap | 93.8 | 88.2 | 90 | 190 | 4359 |
ETF | 94.9 | 82.7 | 150 | 430 | 1205 |
Large Cap | 90.4 | 77.1 | 90 | 130 | 674 |
ADR | 96.1 | 91.1 | 130 | 270 | 350 |
Percent Names Traded by Share Group
SMID_CAP
LARGE_CAP
ADR
OTHER
ETF