Download UBS ATS Monthly Volume Summary – November 2016 (restated 1

United States
Electronic Trading - Equities
UBS ATS Monthly Volume Summary
November 2016
UBS ATS facilitates interaction among equity orders received from a broad range of
clients and market participants, including institutional clients using UBS algorithms,
broker-dealers, UBS trading desks, market makers, retail brokers, and active traders
(sometimes referred to as High Frequency Traders or "HFT").
Key performance metrics1
Average daily matched shares
Average daily matched notional
Total symbols active
Total symbols traded
Peak daily matched shares
Average price improvement per share
Percentage of shares that received price improvement2
Average trade size
Average total executed shares per order
Executed share percentage at midpoint3
Percentage of volume executed versus UBS Principal
orders4
Executed block metrics5
Average daily volume block % >= 10,000 shares
Average daily value block % >= $200K notional
Average daily volume demi-block % >= 2,000-9,999
shares
Average daily value demi-block % >= $100k-200k
notional
Order block metrics6
Average daily order block % >= 10,000 shares
Average daily order block % >= $200K notional
Average daily order demi-block % >= 2,000-9,999
shares
Average daily order demi-block % >= $100K-$200K
notional
Conditional metrics
Average conditional quantity
Average conditional minimum quantity
Average conditional notional value
Average firm up quantity
Average firm up minimum quantity
Average executed quantity
Executed shares by market cap
200,496,508 shares
$8,230,043,319.20
8,392
7,684
297,390,290 shares
$0.0117
82.63%
173 shares
208 shares
68.80%
3.40%
Small
Cap
21.4%
Large
Cap
46.7%
Mid Cap
31.8%
Executed shares by order type
2.48%
4.04%
9.51%
3.24%
Primary
Peg
(Passive)
7.7%
Limit
21.0%
24.25%
26.59%
23.18%
10.54%
Market
Peg
3.4%
Mid Peg
67.8%
44,243
5,637
$1,674,442
68,554
3,921
12,188
Stated percentages may not sum to 100% due to rounding practices. Average daily statistics are rounded down to the nearest whole number.
Issued in the US by UBS Securities LLC, member NYSE, FINRA, SIPC. © UBS 2017. All rights reserved.
UBS ATS matched shares, Q1 2014 – November 2016
14.0
3.0%
2.2
10.0
1.8
1.7
8.0
1.7
1.4
7.5
1.2
6.0
1.7
7.1
1.7
11.7
2.4
2.5%
2.1
9.9
9.8
2.5
10.1
2.0%
8.6
1.5%
6.8
6.1
5.2
5.3
Market share %
Mat ched shares (bn)
2.6
2.3
12.0
1.0%
4.0
4.1
3.5
0.5%
2.0
.0
0.0%
1Q14
2Q14
3Q14
4Q14
1Q15
2Q15
3Q15
UBS ATS Matched Shares
4Q15
1Q16
2Q16
3Q16
Oct-16
Nov-16
UBS ATS Percent of Consolidated Shares
UBS ATS matched notional value, Q1 2014 – November 2016
450
400
1.8
1.7
300
315
1.7
1.4
1.2
1.7
2.2
414
384
2.2
371
354
2.4
2.6
2.5
2.5%
389
1.8
2.0%
298
293
255
1.5%
200
195
208
169
150
1.0%
139
100
0.5%
50
0.0%
1Q14
2Q14
3Q14
4Q14
1Q15
2Q15
UBS ATS Matched Notional
3Q15
4Q15
1Q16
2Q16
3Q16
Oct-16 Nov-16
UBS ATS Percent of Consolidated Notional
Stated percentages may not sum to 100% due to rounding practices. Average daily statistics are rounded down to the nearest whole number.
Issued in the US by UBS Securities LLC, member NYSE, FINRA, SIPC. © UBS 2017. All rights reserved.
Market share %
Market share notional value (bn)
350
250
3.0%
2.2
Executed shares by sector
ETFs
16.4%
Other
0.5%
Utilities
1.8%
Telecommunications
2.3%
Basic Materials
6.3%
Consumer Goods
6.9%
Industrials
7.9%
Financials
16.1%
Healthcare
9.2%
Oil/Gas
9.5%
Consumer Services
12.2%
Technology
10.9%
Executed shares by size bucket
Ordered shares by size bucket
Sub100
0.2%
10000 and up
24.3%
5000-9999
3.0%
100-199
13.9%
200-299
4.5%
10000 and up
2.5%
Sub100
1.5%
1000-4999
15.7%
300-399
3.5%
400-499
3.1%
100-199
41.7%
500-999
12.7%
500-999
11.4%
5000-9999
10.1%
400-499
4.6%
1000-4999
29.1%
300-399
7.4%
200-299
10.9%
Stated percentages may not sum to 100% due to rounding practices. Average daily statistics are rounded down to the nearest whole number.
Issued in the US by UBS Securities LLC, member NYSE, FINRA, SIPC. © UBS 2017. All rights reserved.
Percentage of midpoint shares executed by sector
80%
70%
60%
50%
40%
30%
20%
10%
0%
UBS Electronic Trading - Equities
+1-203-719 1750
+1-800-563 8018
[email protected]
Endnotes:
1. All share and notional numbers disclosed reflect a single count methodology
2. Price Improvement is an execution at any price less than the NBO for buy orders and greater than the NBB for sell orders
3. Includes executed shares in locked markets
4. For purposes of these statistics, the term "UBS Principal orders" means any order for an account that is owned by an entity within the UBS Investment Bank Division
5. ADV block execution calculations
- ADV block % (>=10,000 shares) = total shares executed where the share quantity of the execution is >=10,000 shares, divided by the total shares executed in UBS ATS
- ADV block % (>=$200k notional) = total shares executed where the notional of the execution is >=$200k notional, divided by the total shares executed in UBS ATS
- ADV demi-block % (>=2,000–9,999 shares) = total shares executed where the share quantity of the execution is >=2,000 shares, and < 10,000 shares, divided by the
total shares executed in UBS ATS
- ADV demi-block %( >=$100k–$200K notional) = total shares executed where the notional of the execution is >=$100k notional, and < $200k notional, divided by the
total shares executed in UBS ATS
6. ADV block order calculations
- ADV block % (>=10,000 shares) = total shares ordered where the share quantity of the order is >=10,000 shares, divided by the total shares ordered in UBS ATS
- ADV block % (>=$200k notional) = total shares ordered where the notional of the order is >=$200k notional, divided by the total shares ordered in UBS ATS
- ADV demi-block % (>=2,000–9,999 shares) = total shares ordered where the share quantity of the order is >=2,000 shares, and < 10,000 shares, divided by the total
shares ordered in UBS ATS.
- ADV demi-block %( >=$100k–$200K notional) = total shares ordered where the notional of the order is >=$100k notional, and < $200k notional, divided by the total
shares ordered in UBS ATS.
Stated percentages may not sum to 100% due to rounding practices. Average daily statistics are rounded down to the nearest whole number.
Issued in the US by UBS Securities LLC, member NYSE, FINRA, SIPC. © UBS 2017. All rights reserved.