21 December 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

“Bang! Bang! Goes the night All wrapped up in the firelight Don't rock bottom, just listen, just slow down” —Jim James, 2003 (“Magheeta,” from the My Morning Jacket album “It Still Moves”)


Dark-pool market share rose in November as volatility declined. We estimate that dark venues executed 17.53% of US equity volume last month, up 14 bps from October’s 17.39% (adjusted from 17.43%). Total dark-pool volume fell 3.85% m/m, to 1.20bn shares per day, while consolidated volume suffered a larger, 4.61% m/m decline (see “The Numbers,” next page)... Continue Reading

 

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