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14 January 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).

Industry volume increased 11% month-over-month, ending the year strong

  • Industry volume increased 11% month-over-month, ending the year strong
    • In December 2014, industry volume increased 11% month-over-month from 6.2 billion to 6.9 billion. The intra-month volume peaked on December 19th with 11.8 billion shares after a statement from the Federal Reserve earlier in the week saying that it would be “patient” about raising interest rates. This was the second largest daily volume of 2014, only eclipsed by October 15th, which had 11.9 billion shares.
    • TABB-reported ATS/SDP volume increased by 6% month-over-month. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange volume in December 2014 (see Slide 2 for non-TABB-reporting ATSs).
    • Month-over-month off-exchange volume decreased from 36.0% to 35.0%. Volatility and off-exchange dark volume continue to be inversely correlated. The VIX average close increased from 13.4 to 16.3 month-over-month. December had the second highest monthly volatility of 2014. October had the highest volatility at 18.0.
  • Notable Industry Events:
    • December 22nd was the deadline to comment on the Tick Size Pilot proposed rules. Fifty comment letters have been submitted.
    • On December 23rd, SEC Chair White provided an update on its review of equity market structure in response to inquiries from members of the Senate Committee on Banking, Housing, and Urban Affairs.
      • NASDAQ is implementing a pilot program with lower access fees for 14 stocks for at least four months starting February 2nd, 2015.
      • ICE and BATS circulated recommendations for market structure reform on December 18th and January 6th respectively.
    • The MPID requirement of FINRA rule 4552 goes into effect on February 2nd, 2015. Each ATS must use a single, unique MPID when reporting information to FINRA.

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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