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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


Current Month 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 March 2015:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
March 2015 25,773,762 123,530,711 61,765,355 0.925%


IEX Five Largest ATS1 All Venues1
Average Order Size 691 364 374
Average Aggregate Fill Size 352 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 58.50% 67.17%
% of Aggregate Fills: 101-199 Shares 2.14% 0.36%
% of Aggregate Fills: 200-299 Shares 14.83% 13.40%
% of Aggregate Fills: 300-399 Shares 7.30% 6.05%
% of Aggregate Fills: 400-499 Shares 4.02% 3.16%
% of Aggregate Fills: 500-999 Shares 7.60% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 4.86% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.46% 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 3,767
# of Trades: 20,000-49,999 shares 1,124
# of Trades: 50,000+ shares 191
Unique Symbols Traded 6,700
Average Daily Symbols Traded 4,336
% Shares Traded in Blocks 12.13%
Broker Subscribers 147
Broker Self-Cross 2.58%


Market Capitalization ADV Distribution
Large (>$10B) 46.28%
Mid ($2B-$10B) 26.75%
Small (<$2B) 16.02%
ETF 10.95%
 

Router Stats

#
Average Daily Routed Volume 25,773,762

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) 92.96% 42.61%
Nasdaq (3 exchanges) 98.31% 29.45%
BATS (4 exchanges) 99.26% 27.34%
Chicago Stock Exchange 82.51% 0.61%
Total Weighted Average Fill Rate 96.20%

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




Historical Stats