Blocks in the Dark: Trading in Size on ATSs

At the beginning of October 2016, additional alternative trading system (ATS) data became available through the Financial Industry Regulatory Authority’s (FINRA) ATS Transparency initiative, building on the share and trade volume data that has been publicly available since June 2014. The new datasets include more granularity around the amount of blocks traded at each ATS.

The block data is published on a delayed basis, with the metrics that were published on October 3, 2016 representing August 2016 data aggregated across all National Market System (NMS) stocks.

With these metrics, industry participants can evaluate block trading on ATSs across different measurements. They can look at the percentage of shares each ATS executes using both the traditional share and notional block definition as well as the two different demi-block definitions. This TABB Market Note highlights the takeaways from this new source of block data and puts it in context in light of historical TABB-reported ATS block liquidity, industry trade size and off-exchange market share.