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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 matched.
  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
December 18th 189,628,968 22,456,718 167,172,250 83,586,125 0.956%
December 17th 199,389,449 42,251,835 157,137,614 78,568,807 0.828%
December 16th 183,509,744 24,289,890 159,219,854 79,609,927 0.848%
December 15th 165,285,830 27,159,478 138,126,352 69,063,176 0.815%
December 12th 154,967,307 21,033,735 133,933,572 66,966,786 0.872%
December 11th 160,445,469 22,032,909 138,412,560 69,206,280 0.951%
December 10th 149,392,727 20,145,561 129,247,166 64,623,583 0.863%
December 9th 157,308,771 23,407,301 133,901,470 66,950,735 0.908%
December 8th 170,219,318 23,700,624 146,518,694 73,259,347 1.034%
December 5th 146,531,128 20,510,152 126,020,976 63,010,488 1.009%
December 4th 123,600,141 17,708,561 105,891,580 52,945,790 0.859%
December 3rd 140,080,119 18,581,807 121,498,312 60,749,156 0.950%
December 2nd 144,118,933 17,264,451 126,854,482 63,427,241 0.947%
December 1st 169,775,676 21,661,144 148,114,532 74,057,266 0.968%
* 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 November 2014:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
November 2014 18,506,059 111,611,035 55,805,516 0.905%


IEX Five Largest ATS1 All Venues1
Average Order Size 612 364 374
Average Aggregate Fill Size 364 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 60.03% 67.17%
% of Aggregate Fills: 101-199 Shares 2.36% 0.36%
% of Aggregate Fills: 200-299 Shares 12.47% 13.40%
% of Aggregate Fills: 300-399 Shares 7.14% 6.05%
% of Aggregate Fills: 400-499 Shares 3.99% 3.16%
% of Aggregate Fills: 500-999 Shares 8.07% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 5.14% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.49% 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 3,266
# of Trades: 20,000-49,999 shares 1,058
# of Trades: 50,000+ shares 152
Unique Symbols Traded 6,315
Average Daily Symbols Traded 4,068
% Shares Traded in Blocks 13.37%
Broker Subscribers 154
Broker Self-Cross 2.43%


Market Capitalization ADV Distribution
Large (>$10B) 47.39%
Mid ($2B-$10B) 30.73%
Small (<$2B) 14.05%
ETF 7.81%
 

Router Stats

#
Average Daily Routed Volume 18,506,059

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) 96.92% 43.56%
Nasdaq (3 exchanges) 99.35% 29.93%
BATS (4 exchanges) 99.59% 25.31%
Other* (2 market centers) 94.89% 1.20%
Total Weighted Average Fill Rate 98.30%

* 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