Dark Pool Volume Down, Share Up in 2012
Traders Magazine Online News, January 29, 2013
Daily volume on U.S. dark pools dropped 12.5% in 2012, to 860 million shares a day, on average, according to Rosenblatt Securities.
But the year over year decline fell to 2% in December and dark pools’ share of total equities trading picked up, as volume on lit exchanges fell more sharply.
The pools’ slide came as average daily market of both dark and lit equities-trading systems fell 17.6% to 6.5 billion.
That meant dark pools accounted for 13.3% of all trading, up from 12.5%, according to Rosenblatt.
The drops were declining at the end of the year.
Average daily volume on dark pools in December 2012 fell to 797.9 million shares, from 814.6 million a year earlier. That was a 2.0% drop.
But overall equities volume, by Rosenblatt’s count, fell 6.2%, from 6.4 billion shares a day, to 6.0 billion.
Which meant dark pools at the end of 2012 accounted for 13.4% of total daily volume, up from 12.8% at the end of 2011.
The largest dark pool remained Credit Suisse Crossfinder, with 102.4 million shares a day in volume. But that was down 11.5% from a year earlier.
The second-largest dark pool, Sigma X from Goldman Sachs, also dropped by double digits. Its average volume of 83.0 million shares was down from 100.9 million a year earlier. That was a decline of 17.7%.
The biggest gainers: Barclays LX, at 79.9 million shares a day, a gain of 15.8%, and Deutsche Bank’s Super X, with 60 million shares, up 19.4%.
The LeveL ATS, which had a run-in with the Securities and Exchange Commission at the outset of October, had a 20.4% jump in average daily volume in December as it continued to woo back customers it lost when the regulator said it had allowed customer information to be misused.
The average daily volume of 860 million shares a day for dark pools in 2012 was down from 983 million in 2011 and 992 million in 2010, according to the Rosenblatt “Let There Be Light” review.
Declining volumes “may be forcing a change in the way institutional clients access dark pools and execution venues in general,’’ managing director Justin Schack said in a year-end review of dark pool activity.
Buyers and sellers “need to be more systematic and thorough about seeking liquidity,’’ he said. That in turn means greater use of algorithms that place orders “across an array of non-displayed venues.”
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