Daily Displayed Highlights
5-days through 07/21/23
5.8 million | Orders priced better than the NBBO on arrival |
7478 | Unique displayed securities |
30.4% | Tighter spreads than the NBBO when ASPEN has the best quote |
1.1 bps | Lower adverse selection than maker/taker exchange avg at 20ms |
Weekly Highlights
Last week was our best week ever for average daily marketshare of the TCV at just over 140bps. This was driven by a record setting week in daily matching of trades that were block size and larger (starting at 10k shares or $200k).
As market conditions remain algo-execution friendly with consistent daily volumes, spreads, and post-trade stability over July month to date, and as the VIX hovers much closer to YTD lows than highs, notional ETF market share has declined.
However, ETF execution remains a source of strength at IntelligentCross. For example, last week was also our best week ever for ETF daily matched shares and, more importantly, ETF shares matched on ASPEN orders displayed on our free market data feed, IQX.
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 07/21/23
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 7479 | 15.1% | 30.4% |
ETF | 1388 | 10.2% | 28.4% |
LARGE CAP | 861 | 18.9% | 30.9% |
MID CAP | 1129 | 17.2% | 31.3% |
OTHER | 521 | 62.7% | 33.5% |
SMALL CAP | 3582 | 12.9% | 31.0% |
Top Symbols
ADR
| INFY | 3,527,488 |
| ITUB | 2,002,526 |
| NOK | 1,984,248 |
ETF
| SQQQ | 3,997,493 |
| SPY | 3,645,216 |
| XLF | 2,870,835 |
Large Cap
| T | 7,938,846 |
| SIRI | 5,173,532 |
| VZ | 4,850,867 |
Smid Cap
| VRAY | 14,564,102 |
| TTOO | 11,348,056 |
| MULN | 3,381,634 |
Trading Information
5-days through 07/21/23
5-days through 07/21/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 92.5 | 83.6 | 90 | 270 | 7116 |
Smid Cap | 93.8 | 88.4 | 80 | 180 | 4404 |
ETF | 96.1 | 85.8 | 160 | 720 | 1231 |
Large Cap | 90.1 | 76.9 | 80 | 120 | 720 |
ADR | 95.8 | 90.5 | 110 | 260 | 373 |
Percent Names Traded by Share Group
SMID_CAP
LARGE_CAP
ETF
ADR
OTHER