The Financial Industry Regulatory Authority (FINRA) released the first week of Alternative Trading System (ATS) volume data this week. This is the first time industry participants have been able to see a comprehensive list of ATS volumes at this level of detail and transparency.
The data from the week of May 12 includes ATS share and trade volumes on a stock level. The FINRA website provides two different aggregated views of the information under “ATS Data” and “Issue Data” tabs. The first important thing to note about this data is that it only includes “Tier 1” stocks, or S&P 500, Russell 1000 and selected exchange-traded products. The second round of data, which includes “Tier 2” stocks (all other NMS stocks) and OTC equities will be released in two weeks.
Based on TABB Group’s monthly self-reported ATS volumes (see TABB’s April Equities LiquidityMatrix), we estimate that Tier 1 stocks generally represent approximately 50% to 60% of ATS volume, with exceptions for some ATSs. ATSs that trade more illiquid stocks will likely see a larger percentage of volume in Tier 2 NMS stocks than in Tier 1 instruments.
This data alone is more than enough to spur conversation and interest in market structure, especially with regard to dark pools, which is surely an intended consequence from FINRA. However, there is a possibility that there could be even more light shone in the direction of off-exchange trading.