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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
August 28th 79,317,552 9,532,494 69,785,058 34,892,529 0.822%
August 27th 77,879,160 8,244,334 69,634,826 34,817,413 0.797%
August 26th 83,314,683 9,922,489 73,392,194 36,696,097 0.797%
August 25th 77,778,897 7,706,113 70,072,784 35,036,392 0.808%
August 22nd 80,923,308 10,604,032 70,319,276 35,159,638 0.809%
August 21st 94,112,020 12,934,588 81,177,432 40,588,716 0.841%
August 20th 92,628,403 12,842,367 79,786,036 39,893,018 0.819%
August 19th 103,089,245 12,482,233 90,607,012 45,303,506 0.924%
August 18th 106,856,660 12,193,440 94,663,220 47,331,610 0.934%
August 15th 96,682,203 9,765,035 86,917,168 43,458,584 0.720%
August 14th 101,685,326 10,449,298 91,236,028 45,618,014 0.941%
August 13th 101,261,716 11,568,852 89,692,864 44,846,432 0.880%
August 12th 97,095,100 9,526,786 87,568,314 43,784,157 0.888%
August 11th 98,857,748 12,073,904 86,783,844 43,391,922 0.841%
August 8th 102,294,911 11,764,351 90,530,560 45,265,280 0.804%
August 7th 110,228,737 14,965,293 95,263,444 47,631,722 0.768%
August 6th 126,101,205 19,916,605 106,184,600 53,092,300 0.815%
August 5th 101,940,722 10,871,008 91,069,714 45,534,857 0.692%
August 4th 84,780,868 10,128,986 74,651,882 37,325,941 0.652%
August 1st 114,202,118 13,707,878 100,494,240 50,247,120 0.678%
* 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 July 2014:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
July 2014 12,320,280 86,285,104 43,142,552 0.756%


IEX Five Largest ATS1 All Venues1
Average Order Size 585 364 374
Average Aggregate Fill Size 419 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 52.11% 67.17%
% of Aggregate Fills: 101-199 Shares 1.40% 0.36%
% of Aggregate Fills: 200-299 Shares 14.12% 13.40%
% of Aggregate Fills: 300-399 Shares 9.16% 6.05%
% of Aggregate Fills: 400-499 Shares 5.59% 3.16%
% of Aggregate Fills: 500-999 Shares 10.54% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 6.19% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.54% 0.18%
% of Aggregate Fills: >= 10,000 shares 0.35% 0.08%
(2) Source: SEC ATS White Paper - Page 11, Table 4

#
# of Trades: 10,000-19,999 shares 2,690
# of Trades: 20,000-49,999 shares 868
# of Trades: 50,000+ shares 142
Unique Symbols Traded 6,465
Average Daily Symbols Traded 3,850
% Shares Traded in Blocks 13.44%
Broker Subscribers 111


Market Capitalization ADV Distribution
Large (>$10B) 51.26%
Mid ($2B-$10B) 27.56%
Small (<$2B) 21.17%
 

Router Stats

#
Average Daily Routed Volume 12,320,280

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) 97.51% 43.16%
Nasdaq (3 exchanges) 98.62% 29.69%
BATS (4 exchanges) 99.36% 25.93%
Other* (2 market centers) 94.82% 1.22%
Total Weighted Average Fill Rate 98.29%

* 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