Daily Displayed Highlights

5-days through 04/26/24

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

Weekly Highlights

  • 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.

Displayed Quote Stats

5-days through 04/26/24

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%

Top Symbols

shares matched on the week

ADR

NIO2,415,239
VALE2,392,902
NOK1,897,517

ETF

XLF3,633,769
HYG3,560,574
SPY3,036,117

Large Cap

INTC4,941,033
F4,742,594
TSLA4,015,170

Smid Cap

PLUG11,159,288
DNA4,493,864
FCEL3,719,816

Trading Information

5-days through 04/26/24

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

Percent Names Traded by Share Group

LARGE_CAP 43.3%SMID_CAP 37.6%ETF 8.8%ADR 5.6%OTHER 4.6%

LARGE_CAP

SMID_CAP

ETF

ADR

OTHER