3.5 million | Orders priced better than the NBBO on arrival |
6946 | Unique displayed securities |
28.9% | Tighter spreads than the NBBO when ASPEN has the best quote |
1.3 bps | Lower adverse selection than maker/taker exchange avg at 20ms |
Fed announcement days bring predictable changes in afternoon trading behavior. Spreads tend to widen and post-trade quote instability tends to spike at the event, and both remain elevated for the balance of the session. While the effects are market wide, they tend to be more muted for smid-cap names, versus ETFs and large-caps.
Many algos adjust their volume curves and volatility expectations to better manage execution costs over their trading horizons, but what can be done at the child order level to protect performance?
Real-time, Intraday Optimization in IntelligentCross Midpoint means the platform responds to changing market conditions. Fed announcement days are a great example of how this benefits our subscribers. Matching frequencies slowed by as much as 20% within microseconds after the announcement, as the model adjusted to greater volatility and allowed subscribers time and flexibility to process market data. While the platform sped up again on balance, matching frequency remained slower than normal in ETFs and large-caps, reflecting sustained post-event volatility. However, in smid-caps, frequencies returned to their pre-event speeds, reflecting these stocks’ lower persistent sensitivity.
With help from real-time optimization in navigating events like Fed announcements, IntelligentCross Midpoint had its best week of the year for overall hit rate, and ETFs had their second best week ever for daily midpoint matched shares. More importantly, while post-trade mark-outs on IntelligentCross Midpoint were lower than the exchanges’ average all day on 6/13 out to 500ms, the relative gap was at its widest immediately following the Fed announcement. This may mean we’re on to something.
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 | 6946 | 16.5% | 28.9% |
ETF | 1626 | 16.1% | 24.5% |
Large Cap | 829 | 22.1% | 31.4% |
Mid Cap | 1099 | 12.0% | 36.7% |
Small Cap | 2896 | 7.2% | 37.4% |
NIO | 3,185,348 |
ITUB | 2,321,429 |
ABEV | 2,172,653 |
HYG | 4,272,306 |
XLF | 4,176,097 |
IWM | 3,857,804 |
NVDA | 10,854,708 |
GME | 7,330,806 |
AAPL | 5,616,616 |
DNA | 5,420,701 |
FCEL | 4,133,543 |
TELL | 3,771,796 |
5-days through 06/14/24 | Quote Stability @ 20ms | Quote Stability @ 500ms | Average Trade Size | Average Order Size | Active Traded Names |
---|---|---|---|---|---|
Total | 90.2 | 80.9 | 90 | 230 | 7740 |
Smid Cap | 92.3 | 86.8 | 80 | 180 | 4477 |
ETF | 92 | 79.3 | 140 | 510 | 1630 |
Large Cap | 87 | 73.6 | 70 | 110 | 722 |
ADR | 93.9 | 87.7 | 120 | 230 | 374 |
SMID_CAP
LARGE_CAP
ETF
ADR
OTHER