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July 1, 2008

Dark Pool Volume Creeps Higher

By Editorial Staff

Recent data from Rosenblatt Securities shows that 18 major dark pools increased their market share of consolidated volume to 6.64 percent in April, up from 5.38 percent in March. At the same time, overall consolidated volume decreased in April to 6.7 billion shares per day, compared with a daily average of 8.3 billion shares in March. Rosenblatt single-counts dark pool volume, adjusting double-counted information provided by dark pool operators. Most other analysts use the double-counted figures for dark pools, although exchanges and ECNs single-count volume.

Rosenblatt had revised its original March data on dark pool volume. Initially, the firm said dark pools represented 3.88 percent of the consolidated volume. However, the broker added three dark liquidity venues to its stats, which pushed up the dark pool market share.

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