3.4 million | Orders priced better than the NBBO on arrival |
6936 | Unique displayed securities |
30.9% | Tighter spreads than the NBBO when ASPEN has the best quote |
1.3 bps | Lower adverse selection than maker/taker exchange avg at 20ms |
Large-cap trading regained market share in the total consolidated volume last week, and closed near its highs of the year, as meme stock mania slowed. Aligned with this, IntelligentCross set a new market share record in Tier1 names at over 2.3% on 5/29.
Despite late month gains in share, large-caps saw decreased average trade sizes for much of May and a new high for the year of just over 70% of trading being oddlots by count. Intraday, average trade size declined steeply after the open as a flood of single share prints hit the tape, as we have mentioned before, but this sag in trade size now lasted through 11:30 a.m., before rebounding.
Nevertheless, May was our best month ever for daily match shares of demi-block and larger in large-cap names, and it helped drive momentum to our displayed order book in ASPEN. May closed with our highest hit rates of the year for displayed orders in this group.
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 | 6926 | 16.3% | 30.9% |
ETF | 1659 | 15.0% | 25.9% |
Large Cap | 823 | 22.0% | 33.5% |
Mid Cap | 1107 | 13.3% | 38.2% |
Small Cap | 2850 | 8.2% | 37.0% |
NIO | 2,766,000 |
BBD | 2,294,589 |
ABEV | 2,181,267 |
HYG | 3,810,714 |
TLT | 3,168,768 |
SPY | 3,099,459 |
MRO | 4,868,410 |
BAC | 2,902,518 |
SIRI | 2,843,385 |
AAL | 6,611,233 |
DNA | 5,078,441 |
NKLA | 3,753,983 |
4-days through 05/31/24 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
---|---|---|---|---|---|
Total | 90.7 | 81.4 | 90 | 240 | 7559 |
Smid Cap | 92.7 | 86.9 | 80 | 190 | 4380 |
ETF | 92.2 | 79.3 | 140 | 560 | 1613 |
Large Cap | 88.1 | 75.6 | 70 | 100 | 721 |
ADR | 93.5 | 86.7 | 110 | 220 | 360 |
LARGE_CAP
SMID_CAP
ETF
ADR
OTHER