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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.

Current Month Stats

Total Shares Handled Routed Volume Matched Volume
(Double-counted)
Matched Volume
(Single-counted)
Market Share
July 25th 93,253,031 10,053,489 83,199,542 41,599,771 0.812%
July 24th 119,521,848 14,240,914 105,280,934 52,640,467 0.885%
July 23rd 105,527,715 13,503,599 92,024,116 46,012,058 0.843%
July 22nd 86,206,156 11,205,226 75,000,930 37,500,465 0.700%
July 21st 79,409,741 11,178,569 68,231,172 34,115,586 0.682%
July 18th 100,386,444 14,145,052 86,241,392 43,120,696 0.739%
July 17th 119,067,291 13,029,903 106,037,388 53,018,694 0.792%
July 16th 119,748,012 18,876,026 100,871,986 50,435,993 0.795%
July 15th 100,277,559 10,817,177 89,460,382 44,730,191 0.734%
July 14th 88,787,792 10,939,022 77,848,770 39,924,385 0.768%
July 11th 80,731,069 9,601,235 71,129,834 35,564,917 0.725%
July 10th 97,076,416 10,185,782 86,890,634 43,445,317 0.732%
July 9th 105,017,975 13,664,035 91,353,940 45,676,970 0.845%
July 8th 104,915,835 9,585,287 95,330,548 47,665,274 0.734%
July 7th 77,175,255 10,879,857 66,295,398 33,147,699 0.644%
July 3rd 45,636,4891 6,031,251 39,605,238 19,802,619 0.560%
July 2nd 82,468,002 10,875,350 71,592,652 35,796,326 0.685%
July 1st 99,816,789 13,259,947 86,556,842 43,278,421 0.703%
1 Market Closed at 1pm
* 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 June 2014:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
June 2014 13,256,456 74,064,340 37,032,170 0.640%


IEX Five Largest ATS1 All Venues1
Average Order Size 556 364 374
Average Aggregate Fill Size 430 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 53.79% 67.17%
% of Aggregate Fills: 101-199 Shares 0.97% 0.36%
% of Aggregate Fills: 200-299 Shares 13.74% 13.40%
% of Aggregate Fills: 300-399 Shares 8.76% 6.05%
% of Aggregate Fills: 400-499 Shares 5.48% 3.16%
% of Aggregate Fills: 500-999 Shares 10.23% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 6.02% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.62% 0.18%
% of Aggregate Fills: >= 10,000 shares 0.39% 0.08%
(2) Source: SEC ATS White Paper - Page 11, Table 4

#
# of Trades: 10,000-19,999 shares 2,295
# of Trades: 20,000-49,999 shares 782
# of Trades: 50,000+ shares 129
Unique Symbols Traded 5,919
Average Daily Symbols Traded 3,595
% Shares Traded in Blocks 13.56%
Broker Subscribers 97


Market Capitalization ADV Distribution
Large (>$10B) 47.74%
Mid ($2B-$10B) 29.27%
Small (<$2B) 22.99%
 

Router Stats

#
Average Daily Routed Volume 13,256,456

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) 97.63% 40.12%
Nasdaq (3 exchanges) 98.70% 31.59%
BATS (4 exchanges) 99.25% 26.94%
Other* (3 market centers) 96.77% 1.34%
Total Weighted Average Fill Rate 98.39%

* Includes the National Stock Exchange, Chicago Stock Exchange, and LavaFlow ECN
Method of Calculation: First Wave Inside Price (FWIP) Fill Rate. For details visit our router page.




Historical Stats