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17 December 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 Falls 21% Month-Over-Month, Offsetting October’s Increase

  • Industry volume decreased 21% month-over-month, offsetting October’s 29% increase
    • In November 2014, industry volume decreased 21% month-over-month from 7.8 billion to 6.2 billion. The volume decline offset the 29% spike in October 2014 when the VIX average close was 18.0 (highest since June 2012) versus 13.5 and 13.4 in September and November.
    • TABB-reported ATS/SDP volume decreased by 19% month-over-month, also offsetting the 25% increase in October 2014. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange volume in November 2014 (see Slide 2 for non-TABB-reporting ATSs).
  • Notable Industry Events:
    • RegSCI: The SEC unanimously approved Regulation SCI on November 19th, 2014. With respect to NMS stocks, the SEC defined an “SCI ATS” as an alternative trading system which during four out of the six preceding calendar months had: (1) ≥ 5% of the average daily dollar volume in any single NMS stock AND ≥0.25% of the average daily dollar volume in all NMS stocks OR (2) ≥1% of the average daily dollar volume in all NMS stocks.
      • Notes: (1) 12 ATSs operating NMSs stocks will be impacted by RegSCI according to statements made by Commissioner Stein in the open meeting. (2) It should be noted that FINRA Rule 4552 does not directly provide dollar volume detail.
    • Pricing Program:On November 4th, NASDAQ announced a Select Symbols program capping access fees to $.0005/share. Fourteen stocks will have the revised pricing structure starting February 2nd, 2015 for at least 4 months, pending SEC approval.
    • CTA/UTP Transparency:The exchanges and FINRA posted the first “meeting summary” from a CTA/UTP general session meeting. The posting is part of an initiative to provide greater transparency about the committee’s deliberations. (11/4)
    • Platform updates: Citi Match (SDP) and ConvergExMillennium (ATS) changed matching logics to midpoint only executions. LavaFlowECN announced it will cease operations on January 30th, 2015.
  • NEW TABB Equities LiquidityMatrix™ Metrics:
    • Block and demi-block % (notional), demi-block % (shares) added for IEX.
    • At midpoint % added for Citi Match, Citi LIQUIFI and IEX.
    • Inside the NBBO % added for Citi LIQUIFI and IEX. 

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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