23 December 2009


Justin Schack

VP Market Structure Analysis

Joe Gawronski


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

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Rosenblatt’s Monthly Dark Liquidity Tracker

“Well, the sun rises in the east
And it sets down in the west
Lord, ain’t it hard to tell
Which one will treat you best”

— Leroy Carr, 1935 (“In the Evening When the Sun Goes Down,” also performed by such artists as Big Bill Broonzy, Bob Dylan, Ray Charles and Pete Seeger).

Dark Pools increased their market share yet again in November, breaking the previous month’s record as overall volume tumbled. The 16 non-displayed venues we track executed 9.66% of consolidated US equity volume last month, up from 9.20% in October. Aggregate dark-pool volumes were actually down by 10.98% from October, but constituted a bigger slice of consolidated volume, which shrunk by 15.21% month-to-month (see “The Numbers” table on next page).

more let there be light »