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November 2018
TABB reports metrics from 19 ATSs and 4 Single-Dealer Platforms (SDPs). The following 14 ATSs do not currently report metrics to TABB (estimated from largest to
smallest volume): (1) Credit Suisse Crossfinder, (2) Morgan Stanley – MS Pool (ATS-4), (3) J.P. Morgan - JPM-X, (4) J.P. Morgan – JPB-X, (5) Merrill Lynch Instinct X, (6)
Morgan Stanley - MS Trajectory Cross (ATS-1), (7) Interactive Brokers – IBKR, (8) Dealerweb, (9) Ustocktrade, (10) Luminex, (11) Morgan Stanley – MS Retail Pool (ATS-
6), (12) Citigroup CIOI, (13) Pro Securities, (14) AX Trading.
Disclaimer: While we strive to provide timely and accurate information, portions of the Equities LiquidityMatrixTM content are “as reported” by respective ATSs and SDPs.
There may be inadvertent inaccuracies and errors. Please send an email to equitiesliquiditymatrix@tabbgroup.com if you see one.
% Change
NASDAQ 17.2%
17.3% 0.1%
NYSE 12.0% Industry
12.8% 0.8%
NYSE ARCA 9.7% ADV:
9.3% -0.4%
Cboe BZX
7.1% Oct-2018
6.6% -0.5%
5.4% 8.5 billion
Cboe EDGX 4.8% -0.6%
Cboe BYX 4.6% Nov-2018
4.4% -0.2%
2.4% 7.7 billion
NASDAQ BX 2.2% -0.2%
2.54% -9.3%
IEX 2.86% 0.3%
Cboe EDGA 1.3%
1.6% VIX Average Close: 0.3%
1.1%
NYSE NTL 1.0% Oct-18 Nov-18 -0.1%
0.8%
NASDAQ PSX 0.7% 19.4 19.4 -0.1%
0.51%
CHX 0.52% 0.0%
NYSE MKT 0.3%
0.3% 0.0%
FINRA/NASDAQ TRF 27.8%
28.6% 0.8%
FINRA/NYSE TRF 7.3%
6.9% -0.4%
NASDAQ CHI TRF 0.0%
0.0% 0.0%
FINRA TRF Group 35.1%
35.5% 0.4%
NYSE Group 23.7%
23.9% 0.2%
Cboe Group 18.3%
17.4% -0.9%
NASDAQ Group 20.3%
20.2% -0.1%
Independent Exchanges 2.5%
2.9% 0.4%
0% 5% 10% 15% 20% 25% 30% 35% 40%
Oct-18 Nov-18
Source: TABB Group, BATS
4 Source: TABB Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
Exchange vs. Off-Exchange Volume (by Exchange Group/Independents)
November 2018
On/Off Exchange Volume by Group
60.0%
49.7%
50.0%
35.3%
30.0%
23.9%
20.2%
20.0%
17.4%
10.0%
2.9%
0.0%
Jul-04
Jul-05
Jul-06
Jul-07
Jul-08
Jul-09
Jul-10
Jul-11
Jul-12
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-12
Mar-13
Mar-14
Mar-15
Mar-16
Mar-17
Mar-18
Nov-04
Nov-05
Nov-06
Nov-07
Nov-08
Nov-09
Nov-10
Nov-11
Nov-12
Nov-13
Nov-14
Nov-15
Nov-16
Nov-17
Nov-18
Off-Exchange Nasdaq Group NYSE Group Cboe/BATS Group Independent
8.4
$300
$8
7.7
$243.0 $250
$6
$200
Average
Notional Per $150
$4
Share Traded
Oct-2018 $100
$49.80
$2 Nov-2018
$47.38 $50
$- $-
Shares Notional
8 Source: TABB
Source: Group,
TABB FINRA
Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
TABB-Reported* ATSs and Single-Dealer Platforms
Average Trade Size: November 2018
37,069 33,043
17,220
16,16912,196
10,000 200
9,000 180
8,000 160
6,000 120
5,000 100
4,000 3,515 80
3,000 60
2,000 1,383
40
1,041
1,000 399 20
332 280 243 221 198 193 189 185 184 151 151
- 0
31,519
31,030
16,615
16,248
13,115
10,000
9,000
8,041
8,000
7,000
Average Trade Size
6,000
5,000
3,854
4,000
3,000
2,000 1,538
1,064
1,000 729 620
338 300 273 242 229 219 214 199 196 193 193 184 184 182 180 167 162
151 150 132
-
10 Source: TABB
Source: Group,
TABB FINRA
Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
TABB-Reported* ATSs and Single Dealer Platforms
Stock Cap Distribution: November 2018
†=“Small cap” percentage includes microcap % Small Cap ($250M-$2B) % Mid Cap ($2B-$10B) % Large Cap (>$10B)
*=Please see Slide 20 for list of non-TABB reporting ATSs
Source: TABB
Source: Group,
TABB FINRA
Group Block (10,000+ shares) Demi-Blocks (2,000-9,999)
13
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
TABB-Reported* ATSs and Single-Dealer Platforms
Block and Demi-Block % (Notional): November 2018
Block Block ADV
Rank (in millions)
Luminex 99% 8 3.9
Liquidnet Negotiated 99% 5 6.7
CitiBLOC 96% 10 2.1
Liquidnet H2O 94% 2 14.0
Instinet Crossing 87% 7 4.5
Instinet BlockCross 87% 3 10.1
BIDS 74% 1 30.1
Aqua 65% 18 0.2
Jane Street (JX) 30% 6 5.5
Instinet CBX 16% 12 1.7
CODA Markets 14% 16 0.4
Fidelity CrossStream/BLOX 13% 15 0.9
Citi Cross 12% 17 0.4
LeveL 9% 9 2.8
Barclays LX 8% 11 2.0
UBS 7% 4 7.4
Deutsche Bank SuperX 5% 13 1.2
Goldman Sachs Sigma X2 4% 14 1.0
CitiBLOC 100%
13 2.44
Liquidnet Negotiated 99%
11 6.82
Liquidnet H2O 98%
7 16.01
Instinet BlockCross 93%
8 12.62
Fidelity CrossStream/BLOX 89%
9 11.09
BIDS 86%
2 39.03
Goldman Sachs Sigma X2 65%
3 33.15
UBS 65%
1 122.60
LeveL 49%
4 32.18
Barclays LX 46%
5 20.69
Citi Cross 44%
12 4.83
Deutsche Bank SuperX 32%
6 18.17
0% 20% 40% 60% 80% 100%
Midpoint %
** = Previous quarter’s percentage
* = Please see Slide 23 for list of non-TABB reporting ATSs
CitiBLOC 100%
12 2.80
Instinet BlockCross 100%
8 15.62
Liquidnet Negotiated 99%
11 7.24
Liquidnet H2O 99%
7 16.87
Fidelity CrossStream/BLOX 90%
9 10.79
BIDS 88%
2 43.43
UBS 82%
1 157.52
Goldman Sachs Sigma X2 67%
4 40.20
Citi Cross 63%
10 7.44
LeveL 59%
3 43.36
Barclays LX 57%
6 28.17
Deutsche Bank SuperX 48%
5 28.31
0% 20% 40% 60% 80% 100%
Inside NBBO %
* = Please see Slide 23 for list of non-TABB reporting ATSs
1 = Does not include demi-block 2 = Previous quarter’s percentage * = Form ATS available to customers upon request
Factsheet / Form
ATS Name ATS ID General Info FAQ ATS Link
21 Citigroup CIOI CIOI Do not report:
22 Credit Suisse Crossfinder CROS √ √ √ Click here
23 Dealerweb DLTA -Average Daily Volume
24 Interactive Brokers - IBKR IBKR -Average Trade Size
25 J.P. Morgan - JPM-X JPMX -% Block (shares) √ √ Click here
26 J.P. Morgan - JPB-X JPBX -% Block (notional)
27 Luminex Trading & Analytics LMNX -Stock Cap Distribution √ √ √ Click here
28 Merrill Lynch Instinct X MLIX -At Midpoint % √ Click here
29 Morgan Stanley - MS Pool (ATS-4) MSPL -Inside NBBO % * Click here
30 Morgan Stanley - MS Retail Pool (ATS-6) MSRP * Click here
31 Morgan Stanley - MS Trajectory Cross (ATS-1) MSTX * Click here
32 Pro Securities PROS
33 Ustocktrade USTK √ Click here
Example 1,750 8,750 71% 43% 29% 43% 29% 43% 29% 14% 29%
21 Source: TABB Group