Daily Displayed Highlights
5-days through 06/16/23
6.8 million | Orders priced better than the NBBO on arrival |
7010 | Unique displayed securities |
30.7% | 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
Friday, June 16th’s overall auction volumes were the highest percent of TCV of the year, by a nose. Starting with the Fed announcement last Wednesday, to expiration on Friday, to a holiday-shortened week ending with the Russell Rebalance on 6/26, liquidity has been concentrated around specific events and in specific locations. Add to that declines in average trade size and post trade quote stability for ETFs and Large-Cap stocks, and what is a poor schedule based algo to do?
Despite these market-wide conditions, last week was the second best week ever for ASPEN Fee/Fee hit rates, for shares matched against orders displayed on our free market data feed, IQX, and for shares matched against IOC order types including Midpoint. More importantly, over 4.9 million roundlot or larger orders displayed on IQX arrived priced better than the NBBO last week, showing that IntelligentCross remains an all weather venue for high quality and unique liquidity.
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.
Displayed Quote Stats
5-days through 06/16/23
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 7010 | 15.6% | 30.7% |
ETF | 1278 | 13.5% | 28.9% |
LARGE CAP | 834 | 17.5% | 31.3% |
MID CAP | 1129 | 16.7% | 31.7% |
OTHER | 520 | 74.0% | 36.6% |
SMALL CAP | 3251 | 13.1% | 31.1% |
Top Symbols
ADR
| NIO | 3,979,161 |
| ITUB | 2,344,730 |
| VALE | 2,193,551 |
ETF
| SPY | 4,286,504 |
| SQQQ | 3,119,580 |
| HYG | 2,517,258 |
Large Cap
| INTC | 4,643,057 |
| TSLA | 3,919,216 |
| AMD | 3,916,963 |
Smid Cap
| FFIE | 6,616,413 |
| SOFI | 4,688,694 |
| WE | 3,820,298 |
Trading Information
5-days through 06/16/23
5-days through 06/16/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 92.8 | 84.3 | 80 | 270 | 6997 |
Smid Cap | 94.2 | 89.1 | 70 | 210 | 4426 |
ETF | 94.1 | 80 | 150 | 460 | 1132 |
Large Cap | 89.8 | 76.3 | 80 | 120 | 697 |
ADR | 95.9 | 90.3 | 110 | 250 | 350 |
Percent Names Traded by Share Group
SMID_CAP
LARGE_CAP
ADR
ETF
OTHER