Market Activity Overview
Now that we've fleshed out the different kinds of entities in the US equities market and the logistics of communications between them, it's time to zoom out a bit and get a sense of scale and proportions.
There currently 3 large parent companies which each operate several stock exchanges - ICE (aka the NYSE family - five), CBOE (four), and NASDAQ (three).
Stocks and ETFs
Currently, there are roughly 8300 distinct securities traded in the US equities market. For each security, the market capitilization is calculated by taking the number of shares outstanding and multiplying by the current price per share.
Okay Lets Go what's an NBBO?
National Best Bid and Offer tells you the highs and the lows
The price, the highest bid and also the lowest ask
To trade at these numbers is the brokerages task
Trades and Sizes
On any given day, around 6.7 billion shares are traded in the US equities market, with approximately 34 million trades per day (concentrated into bursts of activity).
Orders, Quotes, and Ticks
The number of orders that are transmitted to a venue is typically much higher than the number of resulting trades. For example, the number of cancellations of trades is usually 20:1!
The market share of a venue is calculated as the amount of trading volume that occurs on that venue on a given day, divided by the total volume across the US equities market.
There are several indices which are commonly used as heuristic indicators of overall market health -and the behavior of these indices are frequently used in the media to paint the overall health of the market.
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