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18 July 2014

Equities LiquidityMatrix™

TABB's Equities LiquidityMatrix™ is a monthly publication consolidating metrics from exchanges, Trade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and Single-Dealer Platforms (SDPs).

The Equities LiquidityMatrix™ includes month-over-month SRO market share and the following self-reported statistics from ATSs and Single Dealer Platforms (SDPs): (1) average daily volume; (2) average trade size; (3) stock capitalization distribution %; (4) block and demi-block % (shares); (5) block and demi-block % (notional); (6) Midpoint % (shares).

Record Low Volatility and Flat Industry Volume in June 2014

  • In June 2014, month-over-month industry volume increased by half a percent while the average close for the VIX was 11.5, down from 12.5 in May 2014, the lowest monthly average since February 2007. TABB reported dark pool volume decreased 5 percent month-over-month in June 2014. This is the third consecutive month TABB reported dark pool volume has dropped.
  • The following notable market events occurred in June 2014:
  • FINRA: FINRA published first ATS data set per Rule 4552.
  • SEC: (1) Chair White outlines 13 directives for equity market structure at Sandler O’Neill conference;(2) SEC fines a dark pool for failing to protect customer information; (3) SEC releases order on Tick Size Pilot
  • Legislative/Legal: (1) 2 Senate and 1 Congressional hearings on conflicts of interest, high speed trading and equity market structure;(2) New York Attorney General sues dark pool for alleged fraud
  • New this month in TABB June 2014 Equities LiquidityMatrix™:
  • New Midpoint % metrics added to LiquidityMatrix (page 10).  Initial reporting dark pools are Barclays DirectEx, BIDS, LavaFlow ECN, LeveL, Liquidnet H2O, Liquidnet Negotiated, and UBS.
  • New Summary of ATS/SDP TABB reported data and public disclosures (pages 11-13)
  • Average daily volume and average trade size metrics added for Barclays DirectEx, Citadel Apogee, RiverCross, Weeden XE, and Wells Fargo – WELX Liquidity Cross.
  • Stock cap distribution, block % (shares), and block % (notional) for Barclays DirectEx

Equities LiquidityMatrix Historical Downloads

You can download archived LiquidityMatrix data as a PDF file. Use the drop-down to select year and month.

For more information of TABB Group's Equities LiquidityMatrix, please contact


And don't miss our Options LiquidityMatrix!

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