Daily Displayed Highlights
5-days through 08/04/23
6.2 million | Orders priced better than the NBBO on arrival |
7412 | Unique displayed securities |
30.7% | 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
Last week, the over 2% decline in the SP500 and the 28% increase in the VIX were the first notable stressors to execution costs this summer. Post trade quote instability and spreads generally rose as the week progressed, especially for large cap stocks during the earlier part of the day.
Adding to these headwinds in large cap execution, average trade size declined 3% versus the beginning of Q3, while daily volume growth for Tier 1 names lagged Tier 2. We estimate that these conditions contributed to an uptick in slippage versus VWAP last week.
However, while execution difficulty rose for larger caps, IntelligentCross set a new record for market share in that stock universe, crossing 1.7% in Tier 1 names for the first time ever. This was driven by our unique displayed liquidity available on ASPEN Fee/Fee. Last week, the platform set a new record for average shares matched against orders displayed on IQX at over 22 million 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 you can access directly, or through Exegy, MayStreet, Redline, and ACTIV.
Displayed Quote Stats
5-days through 08/04/23
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 7412 | 15.5% | 30.7% |
ETF | 1367 | 10.7% | 29.1% |
LARGE CAP | 827 | 19.4% | 30.9% |
MID CAP | 1149 | 17.7% | 31.3% |
OTHER | 531 | 66.7% | 34.8% |
SMALL CAP | 3540 | 13.6% | 31.4% |
Top Symbols
ADR
| NIO | 3,286,600 |
| LU | 1,984,216 |
| VALE | 1,869,425 |
ETF
| SPY | 5,011,828 |
| HYG | 4,010,606 |
| SQQQ | 3,991,673 |
Large Cap
| AMD | 4,240,729 |
| AMZN | 3,409,607 |
| UBER | 2,894,551 |
Smid Cap
| SOFI | 4,604,998 |
| MULN | 4,319,050 |
| NKLA | 3,228,192 |
Trading Information
5-days through 08/04/23
5-days through 08/04/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 92.3 | 83.2 | 80 | 280 | 7359 |
Smid Cap | 93.4 | 87.4 | 70 | 180 | 4483 |
ETF | 95.2 | 83.1 | 150 | 730 | 1301 |
Large Cap | 89.8 | 76.5 | 80 | 120 | 717 |
ADR | 95.3 | 89.1 | 100 | 240 | 371 |
Percent Names Traded by Share Group
SMID_CAP
LARGE_CAP
ETF
ADR
OTHER