US Equity Market Structure: Q1-2015 TABB Equity Digest
For the first five months of 2015, the Trade Reporting Facilities (TRFs) volume (excluding Alternative Display Facility) was flat, at 36.1% relative to 35.9% in the same period in 2014 and 36.0% in 2013. Year-over-Year, TRF market share decreased for Tape A (-1.7%) and Tape C (-2.0%); however, TRF market share for Tape B (+2.3%) increased during the same period, largely due to higher retail activity.
“Dark Volume” consists of Retail Wholesalers, Dark ATSs, Hidden Exchange and SDPs/Other. In Q1-2015, the industry volume consisted of 56.2% Lit Volume and 43.8% Dark Volume (flat YoY, at 56.3% and 43.7%, respectively). However, retail wholesaler market share did increase from its two-year low in Q4-2014 of 16.7%, to 17.2% in Q1-2015, along with a .5% downtick in Hidden Exchange Volume. The Dark Volume breakdown in Q1-2015 was 39.4% Retail Wholesaler, 32.7% Dark ATSs, 20.6% Hidden Exchange and 7.3% SDP/Other.
During the same time period, retail wholesalers’ execution quality hit an all-time high, with the effective/quoted spread % having decreased 50% (April 2015 E/Q=47) since the full implementation of Rule 605 (SEC 11Ac1-5) in October 2001. The steep retail wholesaler competition is reflected in two firms exiting the business and one new entrant thus far in 2015.
Within the 24 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 in arrear to capture the 605/606 statistics for the quarter and various SEC publications.