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14 April 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).

Volatility, Volume Slide in March

  • Month-over-month industry volume and TABB-reported ATS/SDP volume decreased by 2%
    • In March 2015, industry volume decreased 2% month-over-month from 6.8 billion to 6.7 billion.
    • TABB-reported ATS/SDP volume also decreased 2% month-over-month. TABB-reported ATS/SDP volume accounted for 32% of total off-exchange (TRF) volume in March 2015 (see Slide 2 for non-TABB reporting ATSs).
    • Month-over-month the VIX average close decreased from 15.9 to 14.8. During the same period, off-exchange (TRF) volume decreased from 35.8% to 35.5%.
  • Notable Industry Events:
    • Tick Size Pilot Program: On 2/26/15 the SEC extended the deadline for approval of the Tick Size Pilot proposed rules to May 6th, 2015. The SEC has received 74 comment letters on the proposal.
    • Congressional Hearing on SEC Budget and Agenda: On 3/24/15, the House Financial Services Committee conducted a hearing entitled “Examining the SEC’s Agenda, Operations and FY 2016 Budget Request”. In the hearing, Chair White discussed her initiatives for equity market structure. She also gave a date for the first Market Structure Advisory Committee meeting: 5/13/15.
    • SEC Proposal: On 3/25/15, the SEC proposed an amendment to Rule 15b9-1, eliminating an exception for FINRA membership for broker dealers that trade in off-exchange venues. The deadline for comments is 6/1/15.
    • New Market Data Feed: On 4/1/15 IEX launched its top of book feed (TOPS). The feed will only include quotes (not trades) and the quotes will not be protected under RegNMS’ Order Protection Rule. Only orders that have a displayed indicator will be reflected in TOPS.
    • Cessations: Citadel announced it will be shutting down Apogee ATS. As of March 2015, the pool is no longer reporting volume to the TABB LiquidityMatrix™. Curian Clearing ATS filed a cessation of operations as recorded in the 3/1/15 SEC ATS list.
  • NEW TABB Equities LiquidityMatrix™ Metrics:
    • At Midpoint % for Barclays LX
    • Inside NBBO % for Barclays LX and Deutsche Bank SuperX.

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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