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15 June 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).

US Equities Volume Drops in May for Fourth-Straight Month

  • Month-over-month industry volume and TABB-reported ATS/SDP volume decreased by 4%
    • In May 2015, industry volume decreased 4% month-over-month from 6.4 billion to 6.2 billion.
    • TABB-reported ATS/SDP volume also decreased 4% month-over-month. TABB-reported ATS/SDP volume accounted for 32% of total off-exchange (TRF) volume in May 2015 (see Slide 2 for non-TABB reporting ATSs).
    • Month-over-month the VIX average close decreased from 13.5 to 13.3. During the same period, off-exchange (TRF) volume decreased from 36.2% to 36.1%. May 2015 had the lowest VIX average close since July 2014 but year-over-year, the VIX average close was up 7%.
  • Notable Industry Events:
    • SEC Semi-Annual Agenda: The SEC recently released its semi-annual regulatory agenda.  The agenda lists a series of considered recommendations for new proposed rules, concept releases, and public input as well as the current SEC proposed rules in the final stages.
    • Comment Period Expirations: 6/1/2015 was the deadline for comments on the SEC proposed amendment to Rule 15b9-1, which would eliminate an exception for FINRA membership for broker dealers that trade in off-exchange venues.
    • Senator Elizabeth Warren Open Letter: On 6/2/15, Senator Warren released a 13-page open letter to SEC Chair White detailing her disappointments in the Commission’s performance on the timeline for certain rulemaking proposals.
    • Nasdaq Patent Pending Retail Order Process: Pending SEC approval, Nasdaq intends to introduce a patent pending Retail Order Process  in August 2015. If the patent pending process determines a Retail Investor Order which has been designated as non-marketable is instead marketable upon receipt, then Process will route eligible Retail Investor Orders to Registered Nasdaq Market Makers for potential price improvement opportunities or it may route the order to other exchanges.

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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