|By Business Wire||
|July 28, 2014 08:10 AM EDT||
Encouraged by SEC Chair Mary Jo White’s 13 directives to enhance US equity market structure through “clear-eyed, unbiased, fact-based assessments,” TABB Group has issued the first in a series of comprehensive, quarterly US equity volume market metrics.
According to senior research analyst Sayena Mostowfi, who initiated the series and authors the report, “US Equity Market Structure: Q1-2014 Market Metrics,” TABB combined data from the SEC market structure website, Rule 605 and 606 disclosure documents, self-reported dark pool volumes and SIP data to present a comprehensive breakdown of US equity volume.
“We believe that dark volume consists of retail wholesalers, dark ATSs, hidden exchange and Single-Dealer Platforms (SDPs),” says Mostowfi, who defines ‘dark pools’ as dark ATSs and SDPs. In Q1-2014, dark volume and dark pools accounted for 43.6% and 17.2% of industry shares respectively. Dark pool volume consisted of 84.3% dark ATS and 15.7 SDPs. In the same time period, she says, lit exchange and lit ATS accounted for 56.4% of industry volume.
The 17 exhibits in the highly detailed 18-page report include:
Historical On- & Off-Exchange Landscape
- Historical SRO Market Share
- Historical Off-Exchange Volume
- Off-Exchange Broker-Dealers & ATSs
US Equity Volume by Tape
- Share Volume Distribution by Tape: Q1-2014
- Share Market Share by Tape: Q1-2014
US Equities Volume Breakdown
- US Equities Volume Breakdown (Estimated): Q1-2014
- Exchange Volume Breakdown: Q1-2014
- Dark Volume Breakdown: Q1-2014
- Dark ATS Market Share: Q1–2014
- Lit ATS (ECN) Market Share: Q1–2014
- SDP Market Share: Q1–2014
- Retail Wholesaler Market Share: Q1-2014
Retail Order Routing
- Top 5 Retail Wholesaler Acquisition
- Select Retail Firms Order Routing: Q1-2014
Exchange Order Types
- NYSE ARCA Order Type Usage: Q1-2014
- BATS (BZX & BYX) Executed Shares % Exchange Order Types: Q1-204
The Q2-2014 Market Metrics report will be published in August, 2014.
The new report can be downloaded by TABB Research Alliance Equity clients and qualified media at http://www.tabbgroup.com/Login.aspx. The Executive Summary can be seen at www.taggroup.com. To purchase the study, write to [email protected].
About TABB Group
Based in New York and London, TABB Group is the research and consulting firm focused exclusively on capital markets, based on the interview-based, “first-person knowledge” research methodology developed by Larry Tabb.