Bats EDGA Exchange Maker Opportunity

SymbolMissed LiquidityExhausted LiquidityRouted LiquidityVolume OpportunityBats ADVLiquidity Opportunity
(% of ADN)
UNG 42,552,3602,456,2882,51045,011,157326,142 13,801.09
XLF 19,841,732584,107199,45920,625,2982,657,357 776.16
SPY 12,634,3663,223,6791,810,94917,668,9952,065,884 855.28
BAC 11,354,5531,417,549157,71512,929,8172,922,006 442.50
GOVT 10,548,700223,2691,08210,773,05010,964 98,258.39
VXX 9,005,148597,708241,5839,844,4391,484,092 663.33
TZA 9,155,611184,85413,0659,353,530164,728 5,678.17
IAU 7,868,317375,7536638,244,73394,793 8,697.62
F 5,544,700607,968103,8526,256,5201,289,497 485.19
MU 5,257,945477,667307,4736,043,085810,176 745.90
EEM 4,739,993805,69896,2515,641,9421,566,242 360.22
LQD 5,339,237180,2886,4965,526,02180,290 6,882.58
VALE 5,045,917236,84634,2805,317,043828,402 641.84
GDX 4,708,181442,32264,8435,215,3461,481,187 352.11
AMD 4,682,626346,76795,0375,124,430698,364 733.78
IWM 4,264,830395,015234,5274,894,372512,918 954.22
CHK 4,316,553432,14632,9474,781,6461,009,607 473.61
JNUG 4,465,664211,51119,7344,696,909878,385 534.72
GDXJ 3,967,469350,46465,1514,383,084416,896 1,051.36
UVXY 3,881,034294,76338,2984,214,095737,607 571.32
USO 1,949,8531,945,2327,1123,902,197474,000 823.25
SNAP 2,790,206672,145434,1113,896,462336,364 1,158.41
EFA 3,374,735503,53112,3813,890,647830,388 468.53
QQQ 3,295,894447,071142,1043,885,070616,734 629.94
PBR 3,318,772260,45612,1733,591,401571,262 628.68

Data for 2017-03-23 to 2017-03-29 inclusive.

Missed Liquidity
This is a measure for the last week of the average daily volume requested at a price equal or better than the NBBO where we had no liquidity.
Exhausted Liquidity
This is a measure for the last week of the average daily volume requested at a price equal or better than the NBBO, which were partially filled.
Routed Liquidity
This number represents for the last week the average daily volume on orders which were routed and filled on another venue.
Volume Opportunity
This is a measure of the total average daily volume of the missed, exhausted and routed liquidity.
Bats ADV
Average Daily Volume for the last week of shares matched on Bats for the security shown.
Liquidity Opportunity
Percentage of the ADV missed, exhausted or routed. The higher the percentage the larger the market making opportunity.