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16 September 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).

August Sees Lowest Industry Volume Since 2006, Slight Volatility Uptick

  • In August 2014, industry volume and TABB-reported ATS/SDP volume both decreased 8% month-over-month.
  • The average daily volume dropped to 5.2 billion from 5.7 billion in July 2014, the lowest average daily volume since December 2006.
  • Meanwhile in August 2014, the average close for the VIX increased from 12.3 to 13.5 month-over-month.
  • Notable Industry Events:
    • S&P 500 Index closed above 2000 for the first time (8/26).
    • The exchanges and FINRA submitted a tick size pilot plan in accordance to the SEC order (8/26).
    • IEX completed a $75 million round of funding. The funding will in part be used to pursue U.S. exchange registration (9/3).
  • New this month in TABB August 2014 Equities LiquidityMatrix™:
    • New “Inside NBBO %” metrics added to LiquidityMatrix™ (page 11). Initial reporting pools are LavaFlow ECN, LeveL, RiverCross, and Wells Fargo – WELX Liquidity Cross.

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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