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TABB Group Issues First in Series of Quarterly US Equity Volume Market Metrics Reports

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.

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