25 September 2015

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Associate    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“If you ever feel sorrow for the deeds that you have done With no hope for tomorrow in the setting of the sun And the ocean is howling with things that might have been That last good morning sunrise will be the brightest you’ve ever seen” —Peter Rowan, 1973 (“Midnight Moonlight” from the self-titled album “Old and In the Way”


Dark-pool market share fell in August as volatility spiked. We estimate that dark venues executed 17.05% of US equity volume last month, down 64 bps from July’s 17.68% (adjusted from 17.80%). Total dark-pool volume grew 13.34% m/m, to 1.35bn shares per day, while consolidated volume jumped 17.56% m/m (see “The Numbers,” next page)... Continue Reading

 

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