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15 August 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).

Volatility Rebounds Slightly as Industry Volume Drops

  • In July 2014, the average close for the VIX was 12.3, up from 11.5 in June 2014. In the same time period, month-over-month industry volume decreased by 1% to just over 5.7 billion shares per day, the lowest since August 2013. TABB-reported dark pool volume decreased by 2% month-over-month. This is the fourth consecutive month TABB-reported dark pool volume dropped; however, the volume dropped less this month than previous months.
  • The media and legislative inquiries into the equity market structure continued in July 2014 with the following legislative events: (1) Senate hearing on the role of regulation in shaping equity market structure; and (2) Congressman Scott Garrett roundtable on market structure.
  • In July 2014, the SEC and FINRA levied fines for $5 million and $800,000 respectively. The two ATS fines were levied for activities between 2008 and 2011.
  • TABB Equities LiquidityMatrix™ Highlights:
    • The last day of trading for GETMatchedATS  was Friday, August 1st.  KCG clients have migrated to either Knight Link or Knight Match according to their preference.
    • New: Average Daily Volume and Average Trade Size for Citi LIQUIFI
    • New: Midpoint % for Citadel Apogee, Deutsche Bank SuperX, and Wells Fargo – WELX Liquidity Cross
    • New: Stock cap distribution, block % (shares), and block % (notional) for Wells Fargo – WELX Liquidity Cross

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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