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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
* 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 December 2014:

Avg Routed Volume Avg Matched Volume
(Double-counted)
Avg Matched Volume
(Single-counted)
Avg Market Share
December 2014 20,137,709 116,560,647 58,280,324 0.850%


IEX Five Largest ATS1 All Venues1
Average Order Size 652 364 374
Average Aggregate Fill Size 339 219 232
(1) Source: SEC ATS White Paper - Page 8, Table 3


IEX Median ATS2
% of Aggregate Fills: 100 Shares 61.85% 67.17%
% of Aggregate Fills: 101-199 Shares 2.00% 0.36%
% of Aggregate Fills: 200-299 Shares 12.18% 13.40%
% of Aggregate Fills: 300-399 Shares 7.09% 6.05%
% of Aggregate Fills: 400-499 Shares 3.93% 3.16%
% of Aggregate Fills: 500-999 Shares 7.64% 5.86%
% of Aggregate Fills: 1,000-4,999 Shares 4.61% 3.23%
% of Aggregate Fills: 5,000 - 9,999 shares 0.42% 0.18%
% of Aggregate Fills: >= 10,000 shares 0.28% 0.08%
(2) Source: SEC ATS White Paper - Page 11, Table 4

#
# of Trades: 10,000-19,999 shares 3,669
# of Trades: 20,000-49,999 shares 1,205
# of Trades: 50,000+ shares 173
Unique Symbols Traded 6,674
Average Daily Symbols Traded 4,269
% Shares Traded in Blocks 11.81%
Broker Subscribers 156
Broker Self-Cross 2.25%


Market Capitalization ADV Distribution
Large (>$10B) 43.68%
Mid ($2B-$10B) 28.79%
Small (<$2B) 17.94%
ETF 9.59%
 

Router Stats

#
Average Daily Routed Volume 20,137,709

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) 96.43% 44.93%
Nasdaq (3 exchanges) 99.22% 28.36%
BATS (4 exchanges) 99.56% 25.51%
Other* (2 market centers) 94.46% 1.20%
Total Weighted Average Fill Rate 97.99%

* 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