26 October 2016

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Vice President    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Stranger ships will pass you in the night Don’t you worry, baby It’s alright, it’s alright You’re the beacon, yeah, you’re the light” —Jonathan Russell, 2016 (“Your Mother’s Eyes,” from The Head and The Heart’s album “Signs of Light”)


Dark pools executed 14.93% of US equity volume last month, down 199 bps from August’s 16.92% (adjusted from 16.74%), largely because of IEX’s conversion from ATS to exchange status. Dark-pool average daily volume decreased 1.75% m/m, to 1.1bn shares, while consolidated ADV rose 15.30% (see “The Numbers,” next page).... Continue Reading

 

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