US Equity Market Structure: Q3-2014 TABB Equity Digest

In Q3-2014, TABB estimated industry volume consisted of 54.9% lit volume and 45.1% “Dark Volume” (Retail Wholesalers + Dark ATSs + Hidden Exchange + SDP/Other). In the third quarter year over year, lit liquidity was down 2.3%. The shift can be attributed to the Exchange Hidden increase from 7.4% to 9.4% in Q3-2014. The Dark Volume breakdown in Q3-2014 was 38.9% Retail Wholesaler, 32.8% Dark ATSs, 20.8% Hidden Exchange and 7.5% SDP/Other.

During the same time period, Retail Wholesalers’ execution quality hit an all-time high, with the effective/quoted spread % having decreased 50% since the full implementation of Rule 605 (SEC 11Ac1-5) in October 2001. These changes are in part due to steep competition among Retail Wholesalers.

The Q3-2014 TABB Equity Digest report also includes a breakdown of NYSE (for the first time ever), NYSE Arca and BATS BYZ/BYX order type usage. Within the 22 exhibits of the report, we combine data from the SEC market structure website, SEC Rule 605 (order execution) and 606 (order routing) disclosures, self-reported dark pool and order type information, and the SIP to bring you a comprehensive breakdown of US equity volume. We drill down to report retail wholesaler, hidden exchange and tape market share. The timing of each publication is a month in arrear to capture the 605 and 606 statistics for the quarter.