13 October 2014
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).
TABB's September Equities LiquidityMatrix Now Available: Industry Volumes Jump 16%
Industry and TABB-Reported ATS/SDP Volumes Rise 16%
- In September 2014, industry volume and TABB-reported ATS/SDP volume both increased by 16% month-over-month. TABB-reported ATS/SDP volume accounted for 33% of total TRF and ADF volume in September 2014 (see Slide 2 for non-TABB-reporting ATSs).
- Month-over-month the average daily volume increased to 6.1 billion from 5.2 billion, the lowest average daily volume since December 2006. The intra-month volume peaked on Sept. 19th with 9.3 billion shares due in part to the Alibaba IPO and the triple witching day.
FINRA Proposes New Transparency Rules and Postpones Rule 4552 Full Implementation
- On September 19th, FINRA’s Board of Governors approved a proposed rule expanding ATS transparency rules to the remaining TRF volume.
- On October 2nd, 2014, FINRA filed a rule change postponing the ATS requirement to use unique MPIDs to report their order and trade information to February 2, 2015.
New this month in TABB Equities LiquidityMatrix™
- Inside NBBO % metrics added for Barclays DirectEx and BIDS
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 firstname.lastname@example.org.
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