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21 March 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 statistics include month-over-month SRO market share and the following self-reported statistics from ATSs and SDPs: (1) average daily volume; (2) stock capitalization distribution; (3) block and demi-block percentage based on shares/notional value; and (4) average trade size.

ATS and SDP Volumes Drop 4% Amid Industry Volume Increase

Industry volumes increased for the second consecutive month to reach the highest volume since June 2013, increasing 1% month over month. LavaFlow ECN completed its migration back to the Alternative Display Facility (ADF) on Feb. 18, 2014, giving ADF volume for the first time in nearly four years (April 2010). February 2014 also marked the first month following the BATS-DirectEdge merger, with the combined volume representing 20% of the industry. Reported dark pool volume decreased by 4% from January to February 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

Don't miss our Options LiquidityMatrix!


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