IEX ATS Statistics
Statistics of Interest
IEX will be using the SEC Market Structure Division’s ATS statistics as a benchmark for key performance metrics of the IEX ATS as compared to other ATS's (see: SEC October White Paper on ATS's).
We specifically highlight the "Five Largest ATS's" since IEX is a continuous market and is best compared against other continuous ATS's.
We will begin publishing top brokers, aggregate volume and trading statistics once we get the proper permissions and establish a wider breadth of subscribers trading.
Below are key statistics of interest for December 2013:
| IEX | Five Largest ATS1 | All Venues1 | |
|---|---|---|---|
| Average Order Size | 868 | 364 | 374 |
| Average Aggregate Fill Size | 353 | 219 | 232 |
| IEX | Median ATS2 | |
|---|---|---|
| % of Fills: 100 Shares | 64.92% | 67.17% |
| % of Fills: 101-199 Shares | 1.03% | 0.36% |
| % of Fills: 200-299 Shares | 11.06% | 13.40% |
| % of Fills: 300-399 Shares | 5.56% | 6.05% |
| % of Fills: 400-499 Shares | 3.75% | 3.16% |
| % of Fills: 500-999 Shares | 7.90% | 5.86% |
| % of Fills: 1,000-4,999 Shares | 4.91% | 3.23% |
| % of Fills: 5,000 - 9,999 shares | 0.50% | 0.18% |
| % of Fills: >= 10,000 shares | 0.35% | 0.08% |
| Double-counted | Single-counted | |
|---|---|---|
| IEX Average Daily Volume | 10,066,406 | 5,033,203 |
Summary
- We continue to notice a multiplier effect when adding additional brokers who supply real resting orders into our trading mix.
- Our record day thus far is approximately 40 million shares (20 million single counted).
- We expect our volume to continue to ramp once we are through the holiday season and certain brokers complete proposed changes to their algorithms and routers.