Daily Displayed Highlights

5-days through 06/14/24

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

Weekly Highlights

  • 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.

Displayed Quote Stats

5-days through 06/14/24

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%

Top Symbols

shares matched on the week

ADR

NIO3,185,348
ITUB2,321,429
ABEV2,172,653

ETF

HYG4,272,306
XLF4,176,097
IWM3,857,804

Large Cap

NVDA10,854,708
GME7,330,806
AAPL5,616,616

Smid Cap

DNA5,420,701
FCEL4,133,543
TELL3,771,796

Trading Information

5-days through 06/14/24

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

Percent Names Traded by Share Group

SMID_CAP 41.6%LARGE_CAP 39.9%ETF 8.6%ADR 5.3%OTHER 4.6%

SMID_CAP

LARGE_CAP

ETF

ADR

OTHER