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10 March 2015

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).



Equities Volume Momentum Reverses Course in February

  • Month-over-month industry volume decreased by 7% and TABB-reported ATS/SDP volume decreased by 2%
    • In February 2015, industry volume decrease 7% month-over-month from 7.3 billion to 6.8 billion.
    • TABB-reported ATS/SDP volume decreased 2% month-over-month. TABB-reported ATS/SDP volume accounted for 32% of total off-exchange volume in February 2015 (see Slide 2 for non-TABB reporting ATSs).
    • Month-over-month the VIX average close decreased from 19.1 to 15.9. During the same period, off-exchange volume increased from 34.5% to 35.8%.
  • Notable Industry Events:
    • Nasdaq Access Fee Experiment: On 2/2/15, Nasdaq implemented its access fee pilot program for 14 stocks. Nasdaq released its first monthly statistical report for the program on 3/6/15, observing lower market share in 12 out of the 14 names on its exchange.
    • Maker-Taker Legislation: On 3/3/15, Congressman Stephen Lynch (D-Mass) introduced legislation that would require the SEC to develop a pilot program prohibiting rebates for 50 out of the 100 most liquid stocks for 6 months.
    • Index Highs: On 3/2/15, the Dow Jones Industrial Average and S&P 500 reached all-time highs; the Nasdaq Composite reached the 5000-point level for the first time since 2000.
    • Canadian Academic Paper: On 3/6/15, Investment Industry Regulatory Organization of Canada (IIROC) published a fourth academic paper on dark liquidity in the Canadian equity markets as part of the final phase of its three-part HFT Study. The first three papers were published in December 2014 as a part of the second phase. The last paper is expected to be published in summer 2015.
  • NEW TABB Equities LiquidityMatrix™ Metrics:
    • At Midpoint % for ConvergEx Millennium.
    • Inside NBBO % for Liquidnet Negotiated and Liquidnet H2O.
    • MPID changes: LEHM to BCDX (Barclays DirectEx); BOOK to BTBK (Bloomberg Tradebook); PDQM to PDQX (PDQ); PULX to BLKX (State Street – BlockCross)


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 equitiesliquiditymatrix@tabbgroup.com.

 

And don't miss our Options LiquidityMatrix!

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