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|
|% 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%|
|IEX Average Daily Volume||10,066,406||5,033,203|
- 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.