Bats EDGA Exchange Maker Opportunity

SymbolMissed LiquidityExhausted LiquidityRouted LiquidityVolume OpportunityBats ADVLiquidity Opportunity
(% of ADN)
UNG 22,576,052603,01055,51323,234,575212,377 10,940.25
PGX 17,473,559514,26511,97417,999,79840,498 44,446.14
USO 12,156,4052,805,69670,43515,032,536668,996 2,247.03
TZA 13,162,496330,90217,43613,510,834152,054 8,885.55
XLF 7,392,646289,578368,8318,051,0551,188,654 677.33
CWB 6,596,64437,9613,4186,638,02267,677 9,808.39
BAC 5,659,608612,692129,2056,401,5041,400,954 456.94
UCO 5,822,671410,98216,1196,249,772249,973 2,500.18
AMD 4,631,987608,733194,8855,435,605609,516 891.79
VXX 4,115,747859,572177,2565,152,5761,279,010 402.86
SPY 3,634,7941,162,021309,1825,105,9961,068,427 477.90
QQQ 4,066,009556,922109,4564,732,388595,148 795.16
IAU 4,022,819205,97350,7424,279,534154,673 2,766.83
DCTH 2,956,726557,155707,0324,220,914659,373 640.14
RAD 2,859,322749,843262,2513,871,416677,478 571.45
EWG 3,746,15638,35244,0403,828,54783,933 4,561.43
VALE 3,546,052224,1563,7203,773,928489,832 770.45
DRYS 1,315,8571,768,764412,4083,497,029257,581 1,357.64
EFA 2,756,731437,129171,9923,365,852509,963 660.02
AEZS 2,066,417323,689909,2113,299,316617,136 534.62
EEM 2,308,598648,481259,2983,216,3771,101,316 292.05
LQD 3,017,666179,31413,9223,210,90355,810 5,753.28
IWM 2,734,178215,947238,5893,188,714299,139 1,065.96
UGAZ 2,674,547125,38260,4132,860,343105,516 2,710.81
NLY 2,488,560230,47786,6172,805,655470,148 596.76

Data for 2017-07-18 to 2017-07-24 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.