20 December 2016

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Vice President    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Up there's a heaven, down there's a town Blackness everywhere and little lights shine Oh, blackness, blackness dragging me down Come on, light the candle in this poor heart of mine” —Joni Mitchell, 1971 (“This Flight Tonight,” from the album “Blue”)


Dark pools executed 16.12% of US equity volume last month, up 5 bps from October’s 16.07% (adjusted from 15.81%). Dark-pool average daily volume increased 24.76% m/m, to 1.3bn shares, barely outpacing the 24.36% rise in consolidated ADV (see “The Numbers,” next page).... Continue Reading

 

more let there be light »