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14 November 2014

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 increases 29% to highest ADV in Three Years

  • Industry volume increases 29% month-over-month to highest ADV since October 2011
    • In October 2014, industry volume increased 29% month-over-month. TABB-reported ATS/SDP volume increased by 25% month-over-month. TABB-reported ATS/SDP volume accounted for 35% of total TRFs and ADF volume in October 2014 (see Slide 2 for non-TABB-reporting ATSs).
    • Month-over-month the average daily volume increased from 6.1 billion to 7.8 billion, the highest average daily volume since October 2011. The intra-month volume peaked on October 15th with 11.9 billion shares in part driven by swings in the yield on the 10-year Treasury note.
    • October 2014 also saw the highest volatility since June 2012; the VIX average close was 18. Volatility and off-exchange dark volume continue to be inversely correlated. Month-over-month, the total TRF market share dropped by 3.0%from 35.6% to 32.6%.
  • Notable Industry Events:
    • The SEC plans to vote on Regulation SCI on November 19th, 2014.
    • The SEC announced a 45-day comment period for the Tick Size Pilot proposed rules, now posted on the Federal Register. Market participants have until December 22nd, 2014 to comment.
    • IEX announced plans to support displayed orders and disseminate a top of book only feed starting January 30th, 2015. Please note that the feed will only include quotes (not trades) and the quotes will not be protected under RegNMS’ Order Protection Rule.
  • TABB Equities LiquidityMatrix™ Highlights:
    • Stock cap distribution, block and demi-block % (shares and notional) added for Citi LIQUIFI.
    • Wells Fargo –WELX Liquidity Cross ceased operations on October 17th, 2014.

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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