Date |
Financial Instrument Name |
Average Effective Spread |
Average volume at best bid and offer |
Average spread at best bid and offer |
Number of cancellations at best bid and offer |
Number of modifications at best bid and offer |
Average book depth at 3 price increments |
Mean time elapsed (to the millisecond) between an aggressive order |
Median time elapsed (to the millisecond) between a market order |
Average speed of execution for unmodified passive orders at best bid and offer |
Number of Fill or Kill orders that failed |
Number of Immediate or Cancel orders that got zero fill |
Number of transactions executed on the trading venue |
Value of transactions executed on the trading venue |
Number of transactions that were executed on the trading venue |
Value of transactions that were executed on the trading venue |
Number of trading interruptions |
Average duration of trading interruptions |
Number of suspensions |
Nature of suspensions |
Average duration of suspensions |
For continuous quote venues, number of periods during which no quotes were provided |
For continuous quote venues, average duration of periods during which no quotes were provided |
Average quote presence |