7.1 million | Orders priced better than the NBBO on arrival |
7046 | Unique displayed securities |
30.9% | Tighter spreads than the NBBO when ASPEN has the best quote |
1.3 bps | Lower adverse selection than maker/taker exchange avg at 20ms |
Last week, the trading environment remained calm as it has been largely since April, with the brief exception of early May Fed activity and renewed regional banking concerns. On the positive side, spreads and post trade quote instability remain contained, but for liquidity demanders, so do volumes and average trade sizes.
However, we are coming into a potentially trend-changing 7 trading days starting tomorrow (6/14) with the scheduled Fed announcement, and ending with the Russell rebalance (6/23). While the shift of volumes to later in the day and on the close for both events are well understood, at least for the last two years, we have seen some evidence of higher daily volumes and shorter quote durations during the trading days between events, versus the 10 days on either side.
That’s why IntelligentCross’ unique per symbol match calibration is important in delivering high quality liquidity across different market environments. Last week, orders displayed on our free market data feed IQX had an average resting time of over 4.6 seconds and delivered spread saving prices on arrival over 4.8 million times a day for orders of round lots or larger.
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 you can access directly, or through Exegy, MayStreet, Redline, and ACTIV.
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
---|---|---|---|
Total | 7046 | 15.7% | 30.9% |
ETF | 1300 | 13.4% | 30.0% |
LARGE CAP | 825 | 17.5% | 31.2% |
MID CAP | 1138 | 16.5% | 31.4% |
OTHER | 507 | 76.1% | 33.3% |
SMALL CAP | 3277 | 13.5% | 30.9% |
NIO | 3,949,219 |
BBD | 3,114,686 |
VALE | 2,430,973 |
SPY | 3,300,068 |
XLF | 2,267,932 |
HYG | 1,859,011 |
PLTR | 5,353,660 |
TSLA | 3,983,078 |
F | 3,911,678 |
TTOO | 6,706,699 |
FFIE | 5,857,746 |
WE | 3,478,549 |
5-days through 06/09/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
---|---|---|---|---|---|
Total | 92.8 | 84.3 | 90 | 240 | 6938 |
Smid Cap | 94 | 88.6 | 80 | 200 | 4336 |
ETF | 94.6 | 82.1 | 140 | 400 | 1165 |
Large Cap | 90.3 | 76.9 | 80 | 120 | 691 |
ADR | 96.1 | 90.9 | 120 | 280 | 352 |
SMID_CAP
LARGE_CAP
ADR
ETF
OTHER