Dark Pool Volume Steady In March Amid Dip in Overall Trading Volume

U.S. dark pool volume has remained steady in March while overall trading volume was down slightly.
Industry ADV was 6.9 billion shares in March compared to 7.0 billion shares in February.

This comes amid a 12 percent rise in year-over-year equity industry volume, according to the most recent issue of Tabb Group’s Equities LiquidityMatrix.

The drop in dark pool volume comes amid recent focus on market structure, dark pool trading and high-frequency trading, thanks to the recent publication of Michael Lewis’ book ‘Flash Boys.’

Tabb research analyst Valerie Bogard, who compiles and manages the LiquidityMatrix also noted in the recent issue that CBOE Stock Exchange (CBSX) stopped its trading operations at the end of April. CBSX volume declined by 80 percent in March vs. February. Also, the month saw LavaFlow ECN complete its migration to the FINRA/ADF.

For reported ATS and single-dealer platforms, Liquidnet reported its average trade size during March was 40,684 shares for its Negotiated platform while it was 2939 shares at H20. Instinet’s VWAPX saw an average trade size of 852 shares and ConvergEx’s Millennium average transaction size was 429 shares.

Exchange operator NasdaqOMX posted the largest market share for SROs with 17.3 percent, just off from the 17.5 percent it had in February. NYSE Euronext posted a 10.9 percent market share, up from its February level of 10.5 percent. BATS came in third among the exchanges with a 7.8 percent share of the market versus 8.2 percent in February.

Total TRF volume for Finra/ADF was 1.3 percent, up from 0.5 percent in February.