20 August 2013

Co-Authors

Justin Schack

Managing Director

Alex Kemmsies

Associate

Andrew Upward

Associate

Rosenblatt Securities Inc.
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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Or bow down and be grateful and say ‘sure, take all that you see’
To the men who move only in dimly-lit halls
And determine my future for me”
—Robin Pecknold, 2011 (“Helplessness Blues,” from the Fleet Foxes album
of the same name)


Dark-pool market share rose to its third-highest monthly total ever in July, as volatility and market-wide volumes retreated from elevated levels in June. We estimate that dark pools executed...

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