26 October 2009

Co-Authors

Justin Schack

VP Market Structure Analysis

Joe Gawronski

President

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

Inquiries to
globalexchangeanalysis@rblt.com

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“This is where we walked
This is where we swam
Take a picture here
Take a souvenir”

— Michael Stipe, 1986 (From “Cuyahoga” on the R.E.M. album “Life’s Rich Pageant.”)

Dark pools took a breather in September from their recent string of monthly market-share records. The 16 non-displayed venues we track executed 8.38% of consolidated US equity volume last month, down slightly from 8.60% in August. The aggregate volume executed by dark pools declined by 1% from August, to 807.6 million shares per day, as consolidated average daily volume rose by 1.56% to 9.64 billion shares (see “The Numbers” table on next page).

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