Exchange Highlights: Continued Market Share Growth and High Retail Fill Rates
Resting Retail Orders on MEMX Produce High Fill Rates
Highlights & Recent Developments
- MEMX exchange market share excluding TRF volume was 6.5% in May 2022, up from 4.1% in May 2021
- MEMX average daily notional volume was $18.7 billion in May 2022, up from $6.7 billion in May 2021
- MEMX’s average retail fill percentage was more than 93% for orders placed near the NBBO in sizes less than 10,000 shares
- Over 1,000 securities on MEMX trade with over 5% of total share volume executed at midpoint
Market Share
MEMX exchange market share excluding TRF volume was 6.5% in May 2022, up from 4.1% in May 2021. The high for the month was a 6.9% exchange market share on May 3rd. Looking at exchange share by tape, MEMX was ranked the 5th largest exchange in Tape B and Tape C and the 6th largest exchange in Tape A.
Volume & Diversity of Liquidity
MEMX average daily share volume was $18.7 billion in May 2022, up from $6.7 billion in May 2021. The high for the month was $24.7 billion traded on May 5th.
The table below provides retail fill rate percentages in over 3.3 million displayed limit orders across 7,000 symbols from eight firms trading on MEMX in May 2022. The average fill percentage was more than 93% in each category for order sizes less than 10,000 shares and where the limit type was Marketable or Near NBBO.
The data excludes unfilled orders (full, not partials) resulting from user-initiated cancels, self-trade prevention, disconnects, and regulatory cancels (e.g., halts, Reg NMS, LULD). Order size categories include odd lots (under 100 shares), orders between 100 to 9,999 shares and orders over 9,999 shares. Limit type categories include the following: 1) Marketable: Orders where the limit price on the buying side is greater than or equal to the NBO and the selling side is less than or equal to the NBB. 2) Near NBBO: For securities under $20, orders where the limit price on the buying side is placed no more than 50 bps below the offer (no more than 50 bps above the bid on the selling side). For securities priced over $20, orders where the limit price on the buying side is placed no more than 10 cents below the offer (no more than 10 cents above the bid on the selling side). 3) Away NBBO: For securities under $20, orders where the limit price on the buying side is placed more than 50 bps below the offer (more than 50 bps above the bid on the selling side). For securities priced over $20, orders where the limit price on the buying side is placed more than 10 cents below the offer (more than 10 cents above the bid on the selling side).
Over 1,000 securities on MEMX trade with over 5% of total share volume executed at midpoint.
