3.4 million | Orders priced better than the NBBO on arrival |
6807 | Unique displayed securities |
32.1% | Tighter spreads than the NBBO when ASPEN has the best quote |
1.4 bps | Lower adverse selection than maker/taker exchange avg at 20ms |
VIX retreated last week, while market and sector indexes generally rallied. Predictably, ETF market share declined, but earnings and acquisition news helped drive large-cap share higher. Despite all this movement, market-wide execution conditions did not change substantially from the prior week.
It’s been busy for us as well. Last Thursday, IntelligentCross hosted an Expert Discussion & Reception in Boston in collaboration with the BSTA. A packed house heard the latest insights from great quantitative experts representing both the buy and sell side. The feedback has been so positive, we may be rolling out similar events in other regions across the US. Stay tuned.
And tonight, in NY, we attend the annual TabbFORUM NOVA Awards that honor the financial industry’s ongoing commitment to technology-driven innovation by recognizing 40 organizations for their outstanding recent and sustained achievements. Imperative Execution, the parent company of IntelligentCross, is thrilled to be one of the awardees again this year. Thanks go to Tabb Group and to all of you, our valued subscribers, for making this possible.
If you haven't yet leveraged our platform to boost your trading outcomes, we encourage 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.
Unique Names Per Day | Displayed Order Better Than NBBO % | Avg Spread Improvement % | |
---|---|---|---|
Total | 6807 | 15.8% | 32.1% |
ETF | 1604 | 14.8% | 27.1% |
Large Cap | 818 | 21.2% | 36.4% |
Mid Cap | 1099 | 12.8% | 37.6% |
Small Cap | 2796 | 8.2% | 37.4% |
NIO | 2,415,239 |
VALE | 2,392,902 |
NOK | 1,897,517 |
XLF | 3,633,769 |
HYG | 3,560,574 |
SPY | 3,036,117 |
INTC | 4,941,033 |
F | 4,742,594 |
TSLA | 4,015,170 |
PLUG | 11,159,288 |
DNA | 4,493,864 |
FCEL | 3,719,816 |
5-days through 04/26/24 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
---|---|---|---|---|---|
Total | 90.4 | 79.5 | 90 | 230 | 7342 |
Smid Cap | 92.5 | 86.3 | 90 | 190 | 4356 |
ETF | 92 | 77.2 | 130 | 460 | 1432 |
Large Cap | 87.7 | 72.9 | 70 | 110 | 713 |
ADR | 94.1 | 86.3 | 110 | 270 | 363 |
LARGE_CAP
SMID_CAP
ETF
ADR
OTHER