31 August 2009


Justin Schack

VP Market Structure Analysis

Joe Gawronski


Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125

Inquiries to

Rosenblatt’s Monthly Dark Liquidity Tracker

“Well, you may throw your rock and hide your hand
Workin' in the dark against your fellow man
But as sure as God made black and white
What's down in the dark will be brought to the light”

— Traditional, date unknown, (“God’s Gonna Cut You Down,” from the 2003 Johnny Cash album “American V: A Hundred Highways”)

July was the second consecutive record month for dark-pool market share. The 16 non-displayed venues we track executed 8.52% of consolidated US equity volume last month, up substantially from 7.82% in June. Aggregate volume for the group fell by 0.93% month-to-month, to 747.2 million shares per day. But consolidated volume declined by 9.06%, to 8.77 billion shares per day, giving dark pools a far larger market share in July(see “The Numbers” table on next page).

more let there be light »