You have been granted access to this page through First Click Free. Subsequent use of TabbFORUM will require logging in. If you don't have an account, registration is free.



More Video | Podcasts


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


And don't miss our Options LiquidityMatrix!

Add a Comment

You must log in to comment.