21 August 2014

Co-Authors

Justin Schack

Managing Director    

Alex Kemmsies

Associate    

Andrew Upward

Vice President    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Come and tell me what you’re thinking
‘Cause just when the boat is sinking
A little light is blinking, and I will come and rescue you”
—Jack White, 2000, (“Apple Blossom,” from the White Stripes album “De Stijl”)


Dark-pool market share increased slightly last month compared with June. We estimate that dark pools executed 15.97% of consolidated US equity volume last month, up 38bps from June’s adjusted 15.58%. Aggregate dark-pool volume grew approximately 1.51% m/m, to 911mn shares per day, as consolidated ADV fell 0.93% m/m, to 5.8bn... Continue Reading

 

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