Вы находитесь на странице: 1из 21

Equities LiquidityMatrixTM

November 2018

©2019 The TABB Group, LLC. All Rights Reserved.


May not be reproduced by any means without express permission.
TABLE OF CONTENTS
TITLE SLIDE
November Industry Highlights 3
SRO Share Market Share: Month-over-Month 4
Average Daily Shares: Month-over-Month (Shares and Trade) 5
ATS & SDP Market Share 7
TABB- Stock Capitalization Distribution % Small, Mid, Large Cap 11
Reported
• % ADV = >10K shares
ATSs & 12
• % ADV = 2,000-9,999 shares
SDPs Block and Demi-Block %
• % ADV = >$200K
15
• % ADV = $100 - $200K
At Midpoint % 16
Inside the NBBO % 17
Summary of ATS/SDP TABB Reported Data and Public Disclosures 18-20
Liquidity Matrix Data Calculations 21

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.

©2019 The TABB Group, LLC. All Rights Reserved.


May not be reproduced by any means without express permission.
November 2018 LiquidityMatrix™ Highlights

▪ November 2018 – The Calm Before the Storm


▪ Volume: While November’s volume was down month over month, it represented the calm after the October market top but before
the early December storm. Exchange volume was down 9.3% from October but still approximately 10% above the November 2018
year-to-date average. The VIX, however, remained above historic norms and for both October and November had an average
closing value of 19.4. In hindsight, November was peaceful compared to the oncoming December onslaught in which worries about
interest rates, a looming and incendiary trade war with China, and worries about a market top triggered a decline of more than 15%
between Dec. 1 and Christmas.
▪ Off-Exchange: Off-exchange volume grew a modest 1% month over month, from 35.1% in October 2018 to 35.5% in November.
▪ Notional Traded: While notional traded was off almost 14%, from an average $424.3 billion traded per day in October to $366.2
billion in November, it was still a landmark month for value traded, as November represented the fourth-highest value traded on
record, with all three previous record prints being hit this year: February ($430 billion), March ($370 billion), and October ($424
billion). This undoubtedly will lead to a global record for notional equity liquidity traded during a single year.
▪ ATSs: TABB-reported ATS/SDP volume decreased 6.7% month over month, with only three ATSs experiencing positive volume
increases: Fidelity CrossStream (+4%), CODA (+7%), and Luminex (+4%). Most venues reported liquidity drops; pools off by double
digits were: SigmaX (-15%), ITG (-15%), Instinet CBX (-10%) and BlockCross (-14%), CitiBlock (-13%), and Aqua (-37%).
▪ Industry Milestones:
▪ Cantor Agrees to Sell ETF Business to GTS: GTS, the upstart NYSE DMM (specialist) firm, announced the acquisition of
Cantor Fitzgerald’s ETF business, run by Reggie Brown, the high-profile ETF evangelist.
▪ State Street Bank Acquiring Charles River Development: One of the two largest global custodians, State Street Bank,
announced it has acquired CRD, one of the largest OMS platforms, for $2.6 billion, in a play to provide integrated and holistic
front-to-back, multi-asset, multi-geo, multi-business-model investment management support.
▪ Consolidated Audit Trail Goes Live: The US Consolidated Audit Trail, prescribed shortly after the 2010 Flash Crash, finally went
live in November, with its first tranche (exchanges) beginning to submit data. This landmark will be followed next November by
a large broker reporting mandate, and subsequently with the full complement of brokers providing data by November 2020.
▪ UBER and Lyft Announce IPO Plans: Uber and Lyft, the 600-pound gorillas in the ridesharing business, announced plans to
launch their IPOs in 2019. The two firms, competitive since their founding, both announced plans within days of each other. It is
rumored that Morgan Stanley is the lead sled dog for the UBER IPO, followed by Goldman Sachs, while JPMC, along with
Credit Suisse and Jefferies, snagged the Lyft deal.

3 Source: TABB Group


©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
SRO Market Share
Share %: November 2018

% 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%

40.0% 39.6% 35.5%

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

5 Source: TABB Group


©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
ADV Shares and Notional Traded
November 2018
Average Notional Vs. Average Shares Traded
$14 $500
Billions Notional ADV Traded

Billions Shares ADV Traded


Record Notional
Traded, Feb-18
$450
12.3
$12 $430.7
$400
366.2
$10 $350

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

6 Source: TABB 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 Daily Shares: November 2018
Share
Difference %
MPID (mm) Change
UBS 190
191 UBSA (1.19) -1%
Citadel Connect 88
95 CDRG (7.20) -8%
LeveL 66
73 EBXL (6.84) -9%
Deutsche Bank SuperX 56
59 TABB- DBAX (2.84) -5%
51
Goldman Sachs Sigma X2 60 Reported SGMA (9.00) -15%
BIDS 45 ADV:
49 BIDS (3.98) -8%
Barclays LX 45
49 Oct-18** LATS (4.30) -9%
33 756 mm
Jane Street (JX) 37 JX (3.40) -9%
ITG POSIT 28 Nov-18**
33 ITGP (4.80) -15%
23 705 mm
Instinet CBX 26 ICBX (2.67) -10%
Liquidnet H2O 16 -6.7%
17 LQNA (0.77) -5%
Instinet BlockCross 13
16 BLKX (2.12) -14%
Fidelity CrossStream/BLOX 12
12 XSTM 0.47 4%
Citi Cross 11
12 CXCX (0.84) -7%
Liquidnet Negotiated 7
7 LQNT (0.43) -6%
CODA 6
6 PDQM/PDQX 0.40 7%
Instinet Crossing 6
6 XIST (0.49) -8%
Luminex 4
4 LMNX 0.16 4%
CitiBLOC 2
3 LQFI (0.35) -13%
Aqua 1
1 AQUA (0.38) -37%
Weeden XE 0
0 WDNX (0.09) -
^^ = Single Dealer Platform
0 50
† = Barclays DirectEx did not trade in December 2017.
100 150 200 250 added June 2018
** = Luminex
Average Daily Shares (in millions) VEQ-Link/Virtu Matchit did not
• = Please see Slide 20 for list of non-TABB reporting ATSs
Nov-18 Oct-18 disclose November 2018
7 Source: TABB Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
FINRA ATS Data*
Average Daily Shares: October 2018
* = Pools also reporting ADV to TABB Group (see Slide 7 for October data). Share Oct
MPID 2018
UBS* UBSA 18.7%
191
Credit Suisse Crossfinder CROS 9.6%
98
Morgan Stanley - MS Pool (ATS-4) MSPL 7.8%
80
LeveL* EBXL 7.1%
73
J.P. Morgan - JPM-X JPMX 7.1%
73
Goldman Sachs Sigma X2* SGMT 5.9%
60
Deutsche Bank SuperX* DBAX 5.8%
59
BIDS* BIDS 4.8%
49
Barclays LX* 49 LATS 4.8%
ITG Posit* 33 Industry ITGP 3.2%
Merrill Lynch Instinct X 32 MLIX 3.1%
ADV: ICBX 2.5%
Instinet CBX* 26
Interactive Brokers - IBKR 24 Oct-2018 IATS 2.3%
Morgan Stanley - MS Trajectory Cross (ATS-1) 22 1.02 billion MSTX 2.1%
Virtu Matchit* 18 KCGM 1.8%
Sep-2018 LQNA 1.6%
Liquidnet H2O 17 0.83 billion DLTA 1.6%
Dealerweb 17
Instinet BlockCross* 16 22.9% BLKX 1.5%
JP Morgan - JPB-X 13 JPBX 1.3%
CrossStream/BLOX* 12 XSTM 1.2%
Citi Cross 12 CXCX 1.2%
Morgan Stanley - MS Retail Pool (ATS-6) 11 MSRP 1.1%
UStockTrade 11 USTK 1.1%
Liquidnet Negotiation 8 LQNT 0.7%
Instinet Crossing* 6 XIST 0.6%
CODA* 6 PDQX 0.5%
Luminex 4 LMNX 0.4%
CitiBLOC* 3 CBLC 0.3%
Intelligent Cross 1 INCR 0.1%
Aqua* 0 AQUA 0.0%
Weeden XE* 0 WDNX 0.0%
Pro Securities ATS 0 Oct-18 PROS 0.0%

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

Average Daily Volume (in millions)


6,901
7,000 140
Average Trade Size

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

Average Trade Size Average Daily Volume


^^ = Single Dealer Platform
* = Please see slide 20 for list of non-TABB reporting ATSs
** = Please note that in cases involving more than one client, ITG POSIT reports trades to TABB differently than FINRA. For example, a 1,000 share order matching with
two 500 share orders is counted as 1.5 trades. This methodology reduces their trade size.
†= Includes both CODA Micro and CODA Block. CODA Block had an average trade size of 6,006 shares in November 2018.
9 Source: TABB Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
FINRA ATS Data*
Average Trade Size: October 2018
*Pools also reporting average trade size to TABB Group (see Slide 7 for October data).
261,886

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

ADV by Market Cap


(in millions)
Small Mid Large
CODA Markets 29.7% 27.4% 42.9%
1.8 1.6 2.6
LeveL 24.3% 30.0% 45.8%
16.0 19.8 30.3
Luminex 9.3% 33.3% 57.3%
0.4 1.3 2.3
Citi Cross 22.0% 32.0% 41.0%
2.4 3.5 4.5
Fidelity CrossStream/BLOX 21.0% 24.0% 55.0%
2.6 3.0 6.9
UBS 22.3% 30.3% 47.4%
42.4 57.6 90.1
Barclays LX 22.6% 30.7% 46.7%
10.1 13.7 20.9
BIDS 21.0% 33.0% 46.0%
9.5 15.0 20.9
Instinet BlockCross 17.8% 30.7% 48.9%
2.4 4.1 6.6
Instinet Crossing 9.9% 44.0% 45.3%
0.6 2.6 2.6
CitiBLOC 15.7% 31.0% 51.2%
0.4 0.8 1.3
Liquidnet H2O 11.6% 50.1% 38.4%
1.9 8.2 6.3
Instinet CBX 10.3% 40.2% 45.2%
2.4 9.4 10.5
Liquidnet Negotiated 10.0% 57.6% 32.2%
0.7 4.0 2.2
0% 20% 40% 60% 80% 100% 93.6 144.6 207.9

†=“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

11 Source: TABB 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
Block and Demi-Block % (Shares): November 2018
Block ADV
Block Rank In millions
Luminex 100.0% 6 3.7
CitiBLOC 100.0% 9 2.0
Instinet BlockCross 100.0% 3 9.1

Aqua 100.0% 18 0.1


Liquidnet Negotiated 100.0%
4 6.6
Liquidnet H2O 99.8%
2 13.8
Instinet Crossing 88.3%
8 3.4
BIDS 80.8%
1 28.7
Jane Street (JX) 43.3%
7 3.7
Fidelity CrossStream/BLOX 24.0% 12 0.9
CODA Markets 23.2% 17 0.3
Citi Cross 15.0% 16 0.3
LeveL 15.0%
10 1.9
Barclays LX 13.5% 11 1.4
Instinet CBX 13.1% 14 0.6
UBS 11.4% 5 5.8
Deutsche Bank SuperX 9.3% 13 0.8
Goldman Sachs Sigma X2 7.0% 15 0.5

0% 20% 40% 60% 80% 100%


^^ = Single Dealer Platform % Block %Demi-Block
**= Does not report demi-block %
† = Includes both CODA Micro and CODA Block. The block and demi-block percentages for CODA Block are 55.5% and 36.7%, respectively, in November 2018.
* = Please see Slide 20 for list of non-TABB reporting ATSs
12 Source: TABB Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
FINRA ATS Data*
Block and Demi-Block % (Shares): October 2018
* = Pools also reporting block metrics to TABB Group (see Slide 10 for October data). Block ADV
MPID Rank (in millions)
Citigroup CIOI 0% DLTA 2 16.7
Dealerweb 100% LQNT 6 7.3
Liquidnet Negotiation* 100% LMNX 10 3.6
Luminex 100% CBLC 13 2.3
CitiBLOC* 100% BLKX 4 11.0
Instinet BlockCross* 100% AQUA 26 0.3
Aqua* 100% LQNA 3 14.0
Liquidnet H2O* 99% XIST 9 3.8
Instinet Crossing* 89% BIDS 1 31.3
BIDS* 81% WDNX 29 0.1
Weeden XE 67% PROS 30 0.0
Pro Securities ATS 42%
ITGP 5 8.3
ITG Posit* 38%
USTK 31 0.0
UStockTrade 38%
XSTM 20 0.7
CrossStream/BLOX* 23%
PDQX 25 0.3
CODA 23%
IATS 24 0.4
Interactive Brokers 21%
J.P. Morgan - JPM-X JPMX 8 4.7
19%
Merrill Lynch Instinct X MLIX 16 1.3
17%
Virtu Matchit* KCGM 19 0.8
17%
MS Pool (ATS-4) 17% MSPL 12 2.6
Citi Cross* 16% CXCX 23 0.4
Instinet CBX* 14% ICBX 21 0.7
Credit Suisse Crossfinder 13% CROS 11 3.0
LeveL* 13% EBXL 14 1.9
Barclays LX* 13% LATS 15 1.5
UBS* 12% UBSA 7 6.0
JP Morgan - JPB-X 12% JPBX 27 0.2
Deutsche Bank SuperX* 10% DBAX 17 1.0
MS Retail Pool (ATS-6) 8% MSRP 22 0.6
Goldman Sachs Sigma X2* 7% SGMT 18 0.8
Intelligent Cross 5% INCR 32 0.0
MS Trajectory Cross (ATS-1) 4% MSTX 28 0.1
0% 20% 40% 60% 80% 100%

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

0% 20% 40% 60% 80% 100%


^^ = Single Dealer Platform
**= Does not report demi-block % Block (>$200K) Demi-Blocks ($100K-$200K)
† = Includes both CODA Micro and CODA Block. The block and demi-block percentages for CODA Block are 43.0% and 18.4% respectively in November 2018.
* = Please see Slide 23 for list of non-TABB reporting ATSs
14 Source: TABB Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
FINRA ATS Data*
Block and Demi-Block % (Notional): October 2018
* = Pools also reporting block metrics to TABB Group (see Slide 12 for October data).
Block Notional
MPID Rank Value (in $m)
Citigroup CIOI 0% DLTA 2 16.7
Dealerweb 100% LMNX 11 3.7
Luminex 100% LQNT 7 7.4
Liquidnet Negotiation* 99% CBLC 14 2.5
CitiBLOC* 97% LQNA 3 14.7
Liquidnet H2O* 95% BLKX 4 12.1
Instinet BlockCross* 88%
AQUA 27 0.3
Aqua* 86%
XIST 9 4.2
Instinet Crossing* 79%
BIDS 1 33.7
BIDS* 76%
WDNX 29 0.1
Weeden XE 63%
ITGP 5 8.6
ITG Posit 31%
PDQX 26 0.5
CODA 16%
JPMX 8 6.5
J.P. Morgan - JPM-X 14%
CrossStream/BLOX* XSTM 20 0.9
13%
Merrill Lynch Instinct X MLIX 16 1.7
9%
Virtu Matchit* KCGM 21 0.8
9%
JP Morgan - JPB-X JPBX 25 0.5
9%
Citi Cross* 8% CXCX 24 0.5
LeveL* 8% EBXL 13 3.1
MS Pool (ATS-4) 8% MSPL 12 3.1
Instinet CBX* 8% ICBX 19 1.0
Barclays LX* 8% LATS 15 2.1
Interactive Brokers 8% IATS 22 0.8
UBS* 7% UBSA 6 8.0
Credit Suisse Crossfinder 7% CROS 10 4.1
MS Retail Pool (ATS-6) 7% MSRP 23 0.7
Deutsche Bank SuperX* 6% DBAX 17 1.5
Goldman Sachs Sigma X2* 4% SGMT 18 1.3
MS Trajectory Cross (ATS-1) 3% MSTX 28 0.3
0% 20% 40% 60% 80% 100%
Block (>$200K) Demi-Blocks ($100K-$200K)
15 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
At Midpoint %: November 2018
Midpoint ADV at
Rank Midpoint
(in millions)

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

16 Source: TABB 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
Inside NBBO %: November 2018
Inside Inside NBBO
NBBO ADV
Rank (in millions)

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

17 Source: TABB Group


©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
TABB Reporting ATS Metrics and Public Disclosures

TABB LiquidityMatrixTM Metrics Public Website Information


Average
Daily Average % Block % Block Stock Cap At Midpoint Inside Factsheet / Form
ATS Name ATS ID Volume Trade Size (shares) (notional) Distribution % NBBO % General Info FAQ ATS Link
1 Aqua AQUA Yes Yes Yes Yes X X X √ Click here
2 Barclays DirectEx BCDX Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
3 Barclays LX LATS Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
4 BIDS BIDS Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
5 Citi Cross CXCX Yes Yes Yes Yes Yes Yes Yes *
6 CitiBLOC CBLC Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
7 CODA PDQX Yes Yes Yes Yes Yes X X √ √ √ Click here
8 Deutsche Bank SuperX DBAX Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
9 Fidelity CrossStream/BLOX XSTM Yes Yes Yes Yes Yes Yes Yes √ √ Click here
10 Goldman Sigma X2 SGMT Yes Yes Yes Yes X Yes Yes √ √ √ Click here
11 Instinet BlockCross BLKX Yes Yes Yes Yes Yes Yes Yes
12 Instinet CBX ICBX Yes Yes Yes Yes Yes Yes X √ √ Click here
13 Instinet Crossing XIST Yes Yes Yes Yes Yes X X √ √ Click here
14 ITG POSIT ITGP Yes Yes Yes1 X X Yes2 X √ √ √ Click here
15 LeveL EBXL Yes Yes Yes Yes Yes Yes Yes √ √ Click here
16 Liquidnet H2O LQNA Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
17 Liquidnet Negotiated LQNT Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
18 UBS UBSA Yes Yes Yes Yes Yes Yes Yes √ √ √ Click here
19 Virtu MatchIt KCGM Yes Yes Yes Yes X Yes X √ √ √ Click here
20 Weeden XE WDNX Yes Yes X X X X X √ Click here

1 = Does not include demi-block 2 = Previous quarter’s percentage * = Form ATS available to customers upon request

18 Source: TABB Group


©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
TABB Reporting SDP Metrics and Public Disclosures

TABB LiquidityMatrixTM Metrics Public Website Information


Average At
Daily Average % Block % Block Stock Cap Midpoint Inside General
SDP Name Volume Trade Size (shares) (notional) Distribution % NBBO % Info Link
1 Citadel Connect Yes Yes X X X X X √ Click here
2 Jane Street JX Yes Yes Yes Yes X X X √ Click here
3 VEQ Yes Yes Yes 1 Yes 1 X X X √ Click here
4 VEQ-Link Yes Yes Yes 1 Yes 1 X X X

1 = Does not include demi-block

19 Source: TABB Group


©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
Non-TABB Reporting ATS Metrics and Public Disclosures

TABB LiquidityMatrixTM Metrics Public Website Information

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

* = Form ATS available to customers upon request


20 Source: TABB Group
©2019 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission.
LiquidityMatrixTM Data Calculations
Example Calculations
ATS Activity Example: ADV: % ADV in Small Cap Stocks:
- Month: December 2017 A Total single-counted shares / Days in
G (Shares executed in small cap stocks)/
- Number of trading days: 21 month Total shares
- ATS monthly volume consists of Trade 1, 2, 3, and 4 (10,000 + 15,000 + 5,000 + 5,000)/ (5,000 + 5,000)/ 35,000 = 29%
- NBBO: $10.00 X $10.01 20 = 1,750
Average Trade Size: % ADV in Mid Cap Stocks:
B H (Shares executed in mid cap stocks)/
Total ATS Total shares / Total trades
Trade1 1 Trade 2 Trade 3 Trade 4 35,000/ 4 = 8,750 Total shares
Activity 15,000/ 35,000 = 43%
% ADV in Block >10K shares:
C (Shares executed in trades > 10k
Shares 10,000 15,000 5,000 5,000 I % ADV in Large Cap Stocks:
shares ) / Total shares (Shares executed in large cap stocks)/
(10,000 + 15,000)/ 35,000 = 71% Total shares
Notional $150K $250K $100K $50K
D % ADV in Block >$200K: 10,000/ 35,000 = 29%
(Shares executed in trades > $200K)/
Stock Cap % ADV at Midpoint2:
$12B $7B $1B $500M Total shares J (Shares executed at the midpoint)/
Size 15,000/ 35,000 = 43%
Large Cap Mid Cap Small Cap Small Cap Total shares
% ADV in Demi-Block 2,000 – 9,999 5,000 / 35,000 = 14%
E shares:
$10.00 $10.01 $10.007 $10.005
(Shares executed in trades between % Executions inside NBBO2
Price (Shares executed inside NBBO)/ Total
Midpoint 2,000 – 9,999 shares)/ Total shares
Inside NBBO Inside NBBO (5,000 + 5,000)/ 35,000 = 29% shares
K (5,000 + 5,000) / 35,000 = 29%
1A trade is defined as a print to the tape/TRF.
% ADV in Demi-Block $100K - $200K:
2 Includes locked market executions. F (Shares executed in trades between
$100K - $200K)/ Total shares
Final Format (10,000 + 5,000)/ 35,000 = 43%
A B J K
% ADV Block % ADV Demi-Block % ADV Market Cap Distribution
ADV Average % % Inside
Platform
(single- Trade C D E F G H I Midpoint NBBO
Name >10,000 2,000-9,999 $100K- Small-Cap Mid-Cap Large-Cap
counted) Size >$200K (Shares) (Shares)
Shares Shares $200K ($250M- $2B) ($2B- $10B) (>$10B)

Example 1,750 8,750 71% 43% 29% 43% 29% 43% 29% 14% 29%
21 Source: TABB Group