US Equity Market Structure: Q4-2015 TABB Equity Digest

The average daily volume for 2015 was 6.9 billion shares, the highest ADV for the year since 2011. In Jan-16, industry volume continued to rise, with 9.3 billion shares traded a day, a significant increase compared to Jan-15 (7.3b) and Jan-14 (6.9b). Industry average trade size hit a new 10-year low in Jan-2016 of 202 shares, surpassing the previous all-time low, in Oct-2015, of 203 shares.

In Q4-2015, the industry volume consisted of 57.1% Lit Volume (+0.4% YoY) and 42.9% Dark Volume. “Dark Volume” consists of Retail Wholesalers, Dark ATSs, Hidden Exchange and SDPs/Other. The Dark Volume breakdown in Q4-2015 was 40.6% Retail Wholesaler, 32.0% Dark ATSs, 20.4% Hidden Exchange and 7.0% SDP/Other. YoY Dark Volume was down by 0.4% (43.3% in Q4-2014), although Retail Wholesaler’s % of Dark Volume increased 2.1% YoY.

In Q4-2015 the top 15 out of 37 Dark ATSs made up 90% of total Dark ATS volume, up 3% YoY. UBS became the new ATS volume leader for Q4-2015, executing 153 million shares per day. UBS has doubled its industry market share since Q1-2013, from 1.1% to 2.2% in Q4-2015.
IEX has also seen significant market share increases. Since Q2-2015, when it became a “Lit ATS,” IEX’s industry market share has increased by 40% from 1.1% to 1.6% in Q4-2015. This contributed to an increase in the overall Lit ATS market share in Q4-2015 as IEX makes up 95% of total Lit ATS volume.
Just as ATS volume concentration has increased, Retail Wholesaler volume concentration also increased in Q4-2015. The top 3 out of 8 Retail Wholesalers accounted for 71.5% of total Retail Wholesaler volume, up 7.8% YoY. In Jan-2016, the top Retail Wholesaler, Citadel, reached an all-time high of 32.6% market share.
Within the 25 exhibits of the report, we combine data from the SEC market structure website, SEC Rule 605 (order execution) and 606 (order routing) disclosures, FINRA, 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 and various SEC publications for the quarter.