U.S. Equities Market Volume Summary
U.S. Equities Market Quality
- Equity Market Share
- This bar chart shows U.S. Equities trading volume in terms of market share across exchange venues (market share is calculated as a percentage of total consolidated U.S. Equities volume, including off-exchange volume). Market share is further broken out by volume executed in continuous trading and volume executed in auctions on primary listing venues.
- Equity Market Share by Execution Price Relative to NBBO
- This chart breaks out continuous trading volume (9:30am to 4:00pm) by volume executed at the NBBO, within the NBBO (excluding midpoint), and at the midpoint price. All volume figures are expressed in terms of market share (auction market share is not shown).
- NBBO Quote Quality
- The NBBO Quote Quality chart visualizes two key metrics used to measure market quality and contribution to price discovery: time at the inside (x-axis) and size when at the inside (y-axis). Specifically, these are measured as "Average Size at the Inside" and "Percentage of Time at the Inside".
- Average Size at the Inside
- Average Size at the Inside is the time-weighted average number of shares displayed when at the inside (NBBO) price.
- Percentage of Time at the Inside
- Percentage of Time at the Inside is the percentage of time that a market has both a best bid and best offer at the inside (NBBO) price.
- NBBO Quote Market Share
- NBBO Quote Market Share is the notional value displayed at the inside (NBBO) price expressed as a percentage of the overall notional value displayed at the inside across all markets.
The S&P 500 constituent list is available on the public web site below and is not guaranteed to be complete on any given day: http://us.spindices.com/indices/equity/sp-500
Note not all venues trade all symbols, which can affect aggregate results (for example, NYSE does not trade Tape B or Tape C)
Data source: SIP's quote and trade data for the previous month.