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13 February 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 Jumps for Second Straight Month in January

  • Month-over-month industry volume increased by 6% and TABB-reported ATS/SDP volume increased by 8%
    • In January 2015, industry volume increased 6% month-over-month from 6.9 billion to 7.3 billion.
    • TABB-reported ATS/SDP volume increased 8% month-over-month. TABB-reported ATS/SDP volume accounted for 34% of total off-exchange volume in January 2015 (see Slide 2 for non-TABB-reporting ATSs).
    • Month-over-month the VIX average close increased from 16.3 to 19.1, the highest monthly volatility since June 2012. During the same period, off-exchange volume decreased from 35.0% to 34.5%.
  • Notable Industry Events:
    • Equity Market Structure Advisory Committee: The SEC announced the Equity Market Structure Advisory Committee members on 1/13/15. There are 17 members with 2-year terms. The STA filed a comment letter regarding the membership of the committee on 1/23/15. The STA recommended the SEC add a representative from a retail brokerage firm to the committee prior to its first meeting.
    • New Dark ATS: On 1/20/15 nine investment managers announced they plan to launch a new equity trading venue, called Luminex. Luminex will be focused on more efficiently sourcing block liquidity and will open for trading in 2015. The nine founding firms include BNY Mellon, BlackRock, Capital Group, Fidelity Investments, Invesco, J.P. Morgan Asset Management, MFS Investment Management, State Street Global Advisors and T. Rowe Price.
    • New Market Data Feed: IEX revised the launch date for its top of book feed (TOPS) to 4/1/15. 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.
    • FINRA ADF Update: LavaFlow ECN ceased operations on 1/30/2015. The FINRA Alternative Display Facility (ADF) will still be operational; however, until a new ADF market participant is retained, FINRA will cease to send ADF quotation and trade data to the SIPs.
  • NEW TABB Equities LiquidityMatrix™ Metrics:
    • Fidelity CrossStream/BLOX added all metrics.

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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