Chart 1: Average Top of Book Depth Size – S&P 500 Constituents (left) Russell 2000 Constituents (right)
Chart 2: Average Number of Quotes in Five Minute Intervals – S&P 500 Constituents (left) Russell 2000 Constituents (right)
SPY and IWM constituents were equally weighted to represent the S&P 500 and Russell 2000 indices. Data was sourced from ITG’s 5 Minute Bin Intraday Data products. Stocks without valid 21-day median volume metics were excluded from the results.
Refer to ITG Equity Related Analytics for information on available Equity Related Analytics.