Exchange Highlights: Market share and Volume on the Rise

MEMX hits new volume records; retail trading grows with high fill rates

Highlights & Recent Developments

  • MEMX hit an exchange market share record of 7.3% in October (excluding TRF volume)
  • MEMX reached a record of 422 million average share volume for the month of October
  • Average daily notional value traded was $14.2 billion for October, also a new record
  • Retail trading on MEMX continues to grow with average fill rates of over 95% for orders near the NBBO

Market Share

MEMX exchange market share, which excludes off-exchange volume reported to the Trade Reporting Facility (TRF), increased 8% month-over-month to 7.3% in October.

Total market share averaged 4.1% in all securities during the month of October, including a high of 4.5% on October 8th.

In ETPs, October market share was 5.1%, including a new ETP market share record of 5.5% on October 28th.

In Nasdaq-listed securities (Tape C), MEMX was the 4th largest exchange in October.

Volume & Diversity of Liquidity

A record 422 million average daily share volume and $14.2 billion average daily notional traded was recorded in October.

Retail trading continues to grow on MEMX.

The table below shows retail fill rates on MEMX in over 4,700 securities for the two weeks from October 18, 2021 to October 29, 2021 broken out by order size and limit type categories. Retail fill rates were 94-97% for limit orders that were marketable or near the NBBO.

  • Marketable: Limit price on the buying side is greater than or equal to the NBB and the selling side is less than or equal to the NBO.
  • Near NBBO: Limit price is placed no more than 50 bps away from the relevant side of the market (bid -50 bp or ask +50 bp) for securities priced under $20 and no more than 10 cents away from the relevant side of the market (bid -10 cents or ask +10 cents) for securities priced over $20.
  • Away NBBO: Limit price on the buying side is below the away bid (bid -50 bp or bid -10 cents) and on the selling side above the away ask (ask +50 bp or ask +10 cents).
    Fill Rate: Average fill rate percentage (shares executed divided by shares placed) on each order in a given category. 
  • Cancels in Fill Rate Calculation: 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). Orders cancelled at the end of the Market session (4pm) or Post-Market session (5pm) are included.