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14 May 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).

April Equity Volume Slips 4% as Volatility Wanes, Off-Exchange Trading Gains

  • Month-over-month industry volume decreased by 4%, TABB-reported ATS/SDP volume increased by 1%
    • In April 2015, industry volume decreased 4% month-over-month, from 6.7 billion to 6.4 billion.
    • TABB-reported ATS/SDP volume increased 1% month-over-month. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange (TRF) volume in April 2015 (see Slide 2 for non-TABB reporting ATSs).
    • Month-over-month the VIX average close decreased from 14.8 to 13.5. During the same period, off-exchange (TRF) volume increased from 35.5% to 36.2%. April 2015 had the lowest VIX average close and highest off-exchange percentage since November 2014.
  • Notable Industry Events:
    • Equity Market Structure Advisory Committee: On 5/13/15, the SEC held the first meeting for the Equity Market Structure Advisory Committee. The topic for the inaugural meeting was Rule 611, the order protection rule.
    • Tick Size Pilot Program: On 5/6/15 the SEC approved the Tick Size Pilot. The two-year pilot program (consisting of 4 groups) will widen the minimum quoting and trading increments for select small-cap stocks. It is set to begin May 6, 2016.
    • Congressional Hearing on FINRA Oversight: On 5/1/15, the House Financial Services Committee conducted a hearing with FINRA CEO and Chairman Richard Ketchum. Topics included the CARDS proposal, fiduciary duty, the CAT, and the equity market structure advisory committee.
    • New ATS: Luminex filed a Form ATS with the SEC as recorded in the 4/6/15 SEC ATS list. Luminex will be focused on more efficiently sourcing block liquidity. 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.
    • Cessations: Citi Match ceased operations on May 1st, 2015.

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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