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13 October 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).

TABB's September Equities LiquidityMatrix Now Available: Industry Volumes Jump 16%

  • Industry and TABB-Reported ATS/SDP Volumes Rise 16%
    • In September 2014, industry volume and TABB-reported ATS/SDP volume both increased by 16% month-over-month. TABB-reported ATS/SDP volume accounted for 33% of total TRF and ADF volume in September 2014 (see Slide 2 for non-TABB-reporting ATSs).
    • Month-over-month the average daily volume increased to 6.1 billion from 5.2 billion, the lowest average daily volume since December 2006. The intra-month volume peaked on Sept. 19th with 9.3 billion shares due in part to the Alibaba IPO and the triple witching day.
  • FINRA Proposes New Transparency Rules and Postpones Rule 4552 Full Implementation
    • On September 19th, FINRA’s Board of Governors approved a proposed rule expanding ATS transparency rules to the remaining TRF volume.
    • On October 2nd, 2014, FINRA filed a rule change postponing the ATS requirement to use unique MPIDs to report their order and trade information to February 2, 2015.
  • New this month in TABB Equities LiquidityMatrix™
    • Inside NBBO % metrics added for Barclays DirectEx and BIDS

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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