January Digest

A new volume record set, a major technology upgrade, and more

As the first month of 2021 comes to a close, we are now well into the groove of running a US equity exchange. Along with our transition from planning to operation, comes a firm wide focus on continuous improvement across several areas, including technology, member engagement, and diversity of liquidity on our exchange.

Trading Activity Highlights

In January, dollar volume has continued to grow, averaging over $2 billion per day, including a new record day of $3.1 billion. Some other interesting trading and quoting statistics:

  • MEMX has over 2% on-exchange market share in over 1,100 securities.
  • We are continuously quoting at the best prices over 50% of the time in over 1,100 securities, including hundreds of Exchange Traded Products.
  • Members are benefiting from high IOC fill rates averaging 96% on lot sizes of 100 shares or less — at a lower remove rate than other make/take exchanges.
  • Hidden volume (including midpoint) continues to grow, regularly accounting for around 12% of executed volume.

Technology News

Earlier this month, we were pleased to successfully complete our first major technology release of the year. The January software release allowed for performance enhancements and increased functionality, including the acceptance of limit orders regardless of the presence of an away market NBBO and matching updates to more efficiently handle reserve orders and re-pricing. Moving forward, we anticipate a regular cadence of updates and enhancements to our exchange technology and offerings.

In February, we plan to add NMS routing capabilities to the exchange. More detail on our routing functionality will be posted in the coming weeks. Each of these technology additions helps to expand the universe of members and trading interactions that we can support at MEMX.

Member Mix

MEMX’s members represent a range of different types of firms and liquidity and we are proud the exchange’s value proposition is clear to such a broad group. We remain committed to building an exchange for all and will continue the work of attracting a diverse liquidity mix. Currently, our top ten participants by volume are comprised of banks, market makers, agency and retail brokers. There are 54 approved exchange members with 35 of those members actively trading each day and additional members ramping up over the coming weeks. The MEMX Member Experience team is actively engaged with our members to understand how we can continue to enhance the exchange experience for all participants. 

In December, we implemented pricing designed to encourage more retail and sub-dollar activity on the exchange. We believe these are important segments of the market and will work to ensure we are appealing to a variety of firms. In the coming months, we expect to explore other pricing and/or incentive programs as we seek to capitalize on the progress we have made to date and continue to grow liquidity on the exchange.

We are excited about the year ahead as we look to grow share and engage with the industry to advance equity markets and represent our members.