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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 traded.
  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.



Current Month Stats

Total Shares Handled Routed Volume Matched Volume
(Double-counted)
Matched Volume
(Single-counted)
Market Share
November 25th 124,374,870 20,422,336 103,952,534 51,976,267 0.847%
November 24th 122,894,425 17,652,933 105,241,492 52,620,746 0.932%
November 21st 145,815,219 20,818,789 124,996,430 62,498,215 0.877%
November 20th 122,773,305 17,546,589 105,226,716 52,613,358 0.914%
November 19th 135,045,084 18,751,584 116,293,500 58,146,750 0.923%
November 18th 121,707,378 16,773,338 104,934,040 52,467,020 0.848%
November 17th 121,589,653 16,240,217 105,349,436 52,674,718 0.907%
November 14th 130,164,621 18,525,825 111,638,796 55,819,398 0.918%
November 13th 121,410,145 15,948,691 105,461,454 52,730,727 0.824%
November 12th 122,774,894 18,170,052 104,604,842 52,302,421 0.877%
November 11th 121,311,367 13,271,335 108,040,032 54,020,016 0.978%
November 10th 139,280,934 16,525,934 122,755,000 61,377,500 1.001%
November 7th 138,965,763 16,252,403 122,713,360 61,356,680 0.892%
November 6th 149,660,977 21,654,435 128,006,542 64,004,371 0.929%
November 5th 161,551,113 23,700,677 137,850,436 68,925,218 0.992%
November 4th 163,613,814 26,806,080 136,807,734 68,403,867 0.972%
November 3rd 141,492,511 23,792,261 117,700,250 58,850,125 0.837%
* Total Shares Handled = Double-counted matched + Routed Volume.
* 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 October 2014:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
October 2014 20,997,393 119,456,667 59,728,334 0.764%


IEX Five Largest ATS1 All Venues1
Average Order Size 597 364 374
Average Aggregate Fill Size 362 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 57.71% 67.17%
% of Aggregate Fills: 101-199 Shares 2.53% 0.36%
% of Aggregate Fills: 200-299 Shares 13.56% 13.40%
% of Aggregate Fills: 300-399 Shares 7.67% 6.05%
% of Aggregate Fills: 400-499 Shares 4.40% 3.16%
% of Aggregate Fills: 500-999 Shares 8.29% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 5.09% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.46% 0.18%
% of Aggregate Fills: >= 10,000 shares 0.30% 0.08%
(2) Source: SEC ATS White Paper - Page 11, Table 4

#
# of Trades: 10,000-19,999 shares 4,128
# of Trades: 20,000-49,999 shares 1,249
# of Trades: 50,000+ shares 219
Unique Symbols Traded 6,486
Average Daily Symbols Traded 4,140
% Shares Traded in Blocks 12.56%
Broker Subscribers 145
Broker Self-Cross 2.45%


Market Capitalization ADV Distribution
Large (>$10B) 52.74%
Mid ($2B-$10B) 30.00%
Small (<$2B) 17.26%
 

Router Stats

#
Average Daily Routed Volume 20,997,393

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

Exchange Family Fill Rate Routing Activity
NYSE (3 exchanges) 96.78% 43.89%
Nasdaq (3 exchanges) 99.12% 29.30%
BATS (4 exchanges) 99.38% 25.48%
Other* (2 market centers) 93.30% 1.32%
Total Weighted Average Fill Rate 98.08%

* Includes Chicago Stock Exchange and LavaFlow ECN
Method of Calculation: First Wave Inside Price (FWIP) Fill Rate. For details visit our router page.




Historical Stats