18 Nobember 2009

Co-Authors

Justin Schack

VP Market Structure Analysis

Joe Gawronski

President

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

"In the gentle light as the morning nears
You don't say a single word of your last two years
Well you will be, you've reached the frontier"

Robin Pecknold 2008 (“He Doesn’t Know Why,” from the album “Fleet Foxes”)

Even as the SEC proposed new restrictions on them, dark pools reached yet another market-share record last month. The 16 non-displayed venues we track executed 9.20% of consolidated US equity volume last month, up sharply from an adjusted 8.49% in September. Total volume in these pools rose by 4.54%, to 855.3 million shares per day, even as consolidated activity declined by 3.47%, to 9.3 billion shares daily(see “The Numbers” table on next page).

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