Daily Displayed Highlights
5-days through 11/10/23
5.9 million | Orders priced better than the NBBO on arrival |
7637 | Unique displayed securities |
30.6% | 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
Market wide execution conditions stabilized during a much quieter second week of the month versus the first. Compared to the directionality of the opening week of November, both the VIX and SPX remained in narrow bands last week. Although volumes declined with volatility, average trade size, spreads, post trade quote stability and intraday volume profiles all remained relatively consistent . If anything, Large-cap VWAP slippage likely trended lower, while Smid-cap market share of the tape increased.
IntelligentCross remained above 170bps of market share of the total consolidated volume (TCV) last week and continued to provide best of breed post trade performance measured by quote stability and markouts.The platform also saw its best week ever for matched shares coming from IOC order types in Smid-cap names reflecting increased activity and over 7 million Smid-cap orders of round lot and larger displayed on our free market data feed, IQX.
If you haven't yet leveraged our platform to boost your trading outcomes, we urge you to connect with us. Our displayed ASPEN quotes are available through our market data feed, IQX, which can be accessed directly or via providers such as Exegy, MayStreet, Redline, and ACTIV.
Displayed Quote Stats
5-days through 11/10/23
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
|---|---|---|---|
Total | 7637 | 14.2% | 30.6% |
ETF | 1370 | 9.4% | 28.7% |
LARGE CAP | 769 | 18.1% | 31.0% |
MID CAP | 1118 | 16.2% | 31.4% |
OTHER | 451 | 76.2% | 34.6% |
SMALL CAP | 3931 | 12.5% | 31.0% |
Top Symbols
ADR
| VALE | 2,380,347 |
| NIO | 2,320,544 |
| BBD | 1,628,740 |
ETF
| HYG | 5,350,550 |
| SQQQ | 3,455,583 |
| XLF | 3,146,246 |
Large Cap
| WBD | 4,748,070 |
| RIVN | 4,082,319 |
| PLTR | 3,651,799 |
Smid Cap
| DISH | 5,522,456 |
| SOFI | 4,612,735 |
| PLUG | 4,262,735 |
Trading Information
5-days through 11/10/23
5-days through 11/10/23 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
|---|---|---|---|---|---|
Total | 92.4 | 83.1 | 100 | 270 | 7303 |
Smid Cap | 93.2 | 87.3 | 90 | 190 | 4547 |
ETF | 95.4 | 83.7 | 140 | 700 | 1371 |
Large Cap | 90.4 | 77.1 | 90 | 120 | 657 |
ADR | 95.4 | 89.5 | 120 | 240 | 381 |
Percent Names Traded by Share Group
LARGE_CAP
SMID_CAP
ETF
ADR
OTHER