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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
October 21st 131,712,462 21,764,460 109,948,002 54,974,001 0.753%
October 20th 109,822,417 19,385,579 90,436,838 45,218,419 0.705%
October 17th 150,622,813 22,696,313 127,926,500 63,963,250 0.751%
October 16th 154,800,638 25,931,444 128,869,194 64,434,597 0.648%
October 15th 209,693,106 34,026,880 175,666,226 87,833,113 0.737%
October 14th 173,306,737 19,880,425 153,426,312 76,713,156 0.832%
October 13th 145,881,175 21,262,049 124,619,126 62,309,905 0.718%
October 10th 155,110,916 22,168,240 132,942,676 66,471,338 0.721%
October 9th 127,900,492 19,715,474 108,185,018 54,092,509 0.646%
October 8th 141,855,548 20,153,844 121,701,704 60,850,852 0.710%
October 7th 116,358,337 15,799,871 100,558,466 50,279,233 0.715%
October 6th 113,356,125 13,977,703 99,378,422 49,689,211 0.780%
October 3rd 111,572,409 13,984,269 97,588,140 48,794,070 0.742%
October 2nd 135,320,548 20,585,024 114,735,524 57,367,762 0.738%
October 1st 154,339,320 22,276,254 132,063,066 66,031,533 0.807%
* 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 September 2014:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
September 2014 14,046,813 97,915,778 48,957,889 0.805%


IEX Five Largest ATS1 All Venues1
Average Order Size 630 364 374
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 57.49% 67.17%
% of Aggregate Fills: 101-199 Shares 2.71% 0.36%
% of Aggregate Fills: 200-299 Shares 13.21% 13.40%
% of Aggregate Fills: 300-399 Shares 7.72% 6.05%
% of Aggregate Fills: 400-499 Shares 4.42% 3.16%
% of Aggregate Fills: 500-999 Shares 8.40% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 5.30% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.47% 0.18%
% of Aggregate Fills: >= 10,000 shares 0.29% 0.08%
(2) Source: SEC ATS White Paper - Page 11, Table 4

#
# of Trades: 10,000-19,999 shares 2,764
# of Trades: 20,000-49,999 shares 878
# of Trades: 50,000+ shares 107
Unique Symbols Traded 6,530
Average Daily Symbols Traded 4,043
% Shares Traded in Blocks 11.80%
Broker Subscribers 134
Broker Self-Cross 2.95%


Market Capitalization ADV Distribution
Large (>$10B) 50.72%
Mid ($2B-$10B) 30.77%
Small (<$2B) 18.51%
 

Router Stats

#
Average Daily Routed Volume 14,046,813

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) 97.18% 43.38%
Nasdaq (3 exchanges) 99.15% 29.85%
BATS (4 exchanges) 99.55% 25.42%
Other* (2 market centers) 96.33% 1.34%
Total Weighted Average Fill Rate 98.36%

* 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