Chart 1: Median Latency from Placement to First Fill by Market Cap
Chart 2: Average Fill Size by Latency Group – Large Cap Stocks
Dark algorithms that were used by at least ten clients between 1/1/15 and 6/30/16 were included in the analysis. U.S. placements with valid execution and benchmark prices were included. Placements with non-marketable limits were excluded from the analysis.
Refer to ITG Peer Analytics for information on available Peer Related Analytics.