Nanex Research

Nanex 29-Apr-2014 ~ Retail Trade Metrics

Breakdown of NMS consolidated trades with 3 or more decimal places of price precision (see sub-penny trades). We plot retail, midpoint, and non-subpenny trades in 3 categories: Average Shares per Trade, Average Value per Trade, and Average Share Price. There are approximately 8,000 NMS symbols which are comprised of stocks and ETFs listed on NYSE, NY-MKT, NY-ARCA or Nasdaq.

We only consider trades above $1.
Retail trades are defined as any trade with a price requiring 4 digits of precision where the last 2 digits are 01 or 99 (.xx01 and .xx99).
Midpoint trades are defined as any trade with a price requiring 3 digits of precision where the last digit is a 5 (.xx5 or .xx50).
Non-Subpenny trades are defined as any trade with a price requiring 2 or fewer digits of precision ("normal trades").

1. Average Trade Size in Shares. The average size of a retail trade has been fairly constant - currently it's about 560 shares per trade. Note the dramatic drop in the size of midpoint price trades (right chart, brown) - from a high of 8,000 shares per trade to about 200 shares per trade today.

2. Average Trade Size in Value ($). The average value of a retail trade dropped by more than half during the market swoon caused by the financial crisis of 2008. Note the dramatic drop in the value of midpoint price trades (right chart, brown) - from a high of $250,000 per trade to about $8,000 per trade today.

3. Average Share Price ($). The average share price dropped by more than half for all categories during the market swoon of 2008.

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