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IEX ATS Statistics

Statistics of Interest

IEX will be using statistics from a paper authored by SEC Staff (Division of Economic and Risk Analysis) as a benchmark for key performance metrics of the IEX ATS as compared to other ATS's (see: "Alternative Trading Systems: Description of ATS Trading in National Market System Stocks")

We specifically highlight the "Five Largest ATS's" since IEX is a continuous market and is best compared against other continuous ATS's.

How We Count Shares

  1. "Single-counted" is volume matched.
  2. "Double-counted" is total subscriber volume.
  3. IEX market share is IEX traded volume (single-counted) divided by total market volume. Note - IEX only trades 9:30am-4:00pm, but calculates IEX market share versus all market activity between 8:00am-8:00pm.
  4. A subscriber's market share is its volume divided by total subscriber volume.



Record Stats

Total Shares Handled Routed Volume Matched Volume
(Double-counted)
Matched Volume
(Single-counted)
Lit Volume
(Single-counted)
Market Share


Recent Stats

Total Shares Handled Routed Volume Matched Volume
(Double-counted)
Matched Volume
(Single-counted)
Lit Volume
(Single-counted)
Market Share
* Total Shares Handled = Double-counted matched + Routed Volume.
* Lit Volume is volume traded against booked orders marked as displayed or booked portions of orders marked as displayed; matched volume includes trades against all booked orders, regardless of display type.
* Routed Volume is single-counted.
* Market Share = Single-counted Matched Volume divided by total market volume.
* Highlighted stats are record highs to date

FINRA Rule 4552 Data

Download Latest FINRA Rule 4552 Data


 

Statistics of interest for August 2015:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
August 2015 30,514,571 227,413,164 113,706,582 1.436%


IEX Five Largest ATS1 All Venues1
Average Order Size 547 364 374
Average Aggregate Fill Size 297 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 59.87% 67.17%
% of Aggregate Fills: 101-199 Shares 1.56% 0.36%
% of Aggregate Fills: 200-299 Shares 16.68% 13.40%
% of Aggregate Fills: 300-399 Shares 6.67% 6.05%
% of Aggregate Fills: 400-499 Shares 3.71% 3.16%
% of Aggregate Fills: 500-999 Shares 6.83% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 4.14% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.34% 0.18%
% of Aggregate Fills: >= 10,000 shares 0.20% 0.08%
(2) Source: SEC ATS White Paper - Page 11, Table 4

#
# of Trades: 10,000-19,999 shares 4,966
# of Trades: 20,000-49,999 shares 1,472
# of Trades: 50,000+ shares 232
Unique Symbols Traded 7,253
Average Daily Symbols Traded 5,020
% Shares Traded in Blocks 8.69%
Broker Subscribers 157
Broker Self-Cross 2.34%


Market Capitalization ADV Distribution
Large (>$10B) 44.27%
Mid ($2B-$10B) 25.88%
Small (<$2B) 15.05%
ETF 14.79%
 

Router Stats

#
Average Daily Routed Volume 30,514,571

Fill rates for exchange families below with total weighted average fill rate across all Reg NMS "protected" market centers:

Venue First Wave Weight First Wave Rate
ARCX 23.71% 98.21%
BATS 7.39% 99.02%
BATY 6.13% 99.19%
EDGA 1.33% 97.71%
EDGX 10.38% 99.09%
XASE 0.29% 88.24%
XBOS 2.65% 97.45%
XCHI 0.41% 74.53%
XNGS 22.72% 98.86%
XNYS 23.41% 87.12%
XPHL 1.57% 88.00%
Total Weighted Average Fill Rate 100% 95.66%

Method of Calculation: First Wave Inside Price (FWIP) Fill Rate. For details visit our router page.




Historical Stats