← Insight

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
October 1st 154,339,320 22,276,254 132,063,066 66,031,533 0.807%
September 30th 132,120,106 18,167,426 113,952,680 56,976,340 0.767%
September 29th 110,902,888 13,846,428 97,056,460 48,528,230 0.814%
September 26th 94,114,411 12,843,239 81,271,172 40,635,586 0.740%
September 25th 107,725,203 14,090,471 93,634,732 46,817,366 0.722%
September 24th 118,488,039 14,026,641 104,461,398 52,230,699 0.848%
September 23rd 116,907,938 15,077,602 101,830,336 50,915,168 0.819%
September 22nd 120,445,770 13,114,362 107,331,408 53,665,704 0.844%
September 19th 127,969,052 14,687,862 113,281,190 56,640,595 0.605%
September 18th 115,271,641 14,317,063 100,954,578 50,477,289 0.851%
September 17th 100,575,616 12,935,684 87,639,932 43,819,966 0.710%
September 16th 109,585,529 15,862,117 93,723,412 46,861,706 0.757%
September 15th 97,534,848 13,716,230 83,818,618 41,909,309 0.752%
September 12th 119,905,496 18,236,488 101,669,008 50,834,504 0.838%
September 11th 109,486,063 13,579,737 95,906,326 47,953,163 0.871%
September 10th 124,763,377 14,511,451 110,251,926 55,125,963 0.987%
September 9th 112,498,901 15,836,559 96,662,342 48,331,171 0.835%
September 8th 95,298,753 11,637,797 83,660,956 41,830,478 0.796%
September 5th 109,922,088 9,633,468 100,288,620 50,144,310 0.952%
September 4th 116,139,402 12,927,078 103,212,324 51,606,162 0.906%
September 3rd 104,502,815 12,682,977 91,819,838 45,909,919 0.838%
September 2nd 106,770,520 13,185,388 93,585,132 46,792,566 0.813%
* 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 August 2014:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
August 2014 11,507,410 84,088,048 42,044,024 0.802%


IEX Five Largest ATS1 All Venues1
Average Order Size 644 364 374
Average Aggregate Fill Size 377 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 55.95% 67.17%
% of Aggregate Fills: 101-199 Shares 2.44% 0.36%
% of Aggregate Fills: 200-299 Shares 13.66% 13.40%
% of Aggregate Fills: 300-399 Shares 8.34% 6.05%
% of Aggregate Fills: 400-499 Shares 4.63% 3.16%
% of Aggregate Fills: 500-999 Shares 8.76% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 5.45% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.46% 0.18%
% of Aggregate Fills: >= 10,000 shares 0.31% 0.08%
(2) Source: SEC ATS White Paper - Page 11, Table 4

#
# of Trades: 10,000-19,999 shares 2,455
# of Trades: 20,000-49,999 shares 772
# of Trades: 50,000+ shares 112
Unique Symbols Traded 6,469
Average Daily Symbols Traded 3,943
% Shares Traded in Blocks 12.11%
Broker Subscribers 127


Market Capitalization ADV Distribution
Large (>$10B) 51.59%
Mid ($2B-$10B) 30.59%
Small (<$2B) 17.82%
 

Router Stats

#
Average Daily Routed Volume 11,507,410

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) 97.29% 41.71%
Nasdaq (3 exchanges) 99.03% 30.16%
BATS (4 exchanges) 99.46% 26.71%
Other* (2 market centers) 96.36% 1.42%
Total Weighted Average Fill Rate 98.38%

* 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