Liquidnet Market Intel
Liquidnet’s Dark Pool Value Index (DPVI):
12 Week Period Ending 2/24/2017
This week’s Dark Pool Value Index takes a historical look at FINRA ATS Data. Over the stated 12
weeks of full-month data*, we have measured the Z-score of each ATS across three different
categories: Market Share, Market Share by Symbol and Trade Size by Symbol. Here’s a quick
refresher on Z-score and our categories:
Z-score: The difference from the mean divided by the standard deviation during the period. The
Z-score measures the amount of difference for each ATS against the rest of the ATSs.
Market Share: The amount of shares traded by an ATS divided by the total FINRA ATS shares.
Market Share by Symbol: For each symbol that an ATS trades, we calculate its market share
Z-score. We average the Z-scores across all the stocks an ATS trades.
Trade Size by Symbol: For each symbol that an ATS trades, we calculate its trade size Z-score. We
average the Z-scores across all the stocks an ATS trades.
In the graph below, the first column (Z-Score Avg.) for each category shows the average Z-score
over the covered period. The second column (Z-Score Std. Dev.) shows the Standard Deviation
of that number over the same period. A higher standard deviation means the ATS shows greater
change within that category. This gives us a quick way to assess the long-term strength and
stability of how an ATS differentiates itself from its peers.
For example, UBS ATS not only has the highest average Market Share Z-score but also has a
relatively low standard deviation relative to the other top Market Share dark pools. UBS ATS also
has the lowest standard deviation in Market Share by Symbol — it trades a lot of stocks and has a
similar market share among those stocks throughout the period. This is a fairly obvious outcome
for the largest dark pool.
It gets a little bit more interesting when you look at a more niche dark pool. Let’s pick on ourselves.
Liquidnet Negotiated has a negative Market Share Z-score (we’re a bit smaller than the mean) with
a relatively low standard deviation. Our market share tends to be more stable than some of the
largest dark pools, which is also true for most of the smaller pools. One might say this is because
our natural liquidity is a stable part of market volume.
However, our Market Share by Symbol average Z-score is positive while our standard deviation
is higher. In other words, Liquidnet Negotiated tends to dominate the stocks it trades but the
degree of this dominance is subject to change. Factors such as inflows, rebalances and trading
around earnings seasons are all potential explanations for this phenomenon. Finally, similar to how
UBS differentiates itself on Market Share by Symbol (high average and low standard deviation),
Liquidnet Negotiated has the highest average Z-score for Trade Size by Symbol and among the
lowest standard deviations.
If I were to try and find dark pools that did not demonstrate differentiation, I would look at those
that have consistently low average Z-scores or high standard deviations. It points to an inability to
attract a particular segment of the market or consistent amount of flow. However, for a relatively
new ATS, it could also simply be early days.
*Covers data from 12/5/2016 through 2/24/2017
NEW YORK • LONDON • HONG KONG • SINGAPORE • SYDNEY • TOKYO • TORONTO
© 2017 Liquidnet, Inc. Member of FINRA/SIPC.
ON A DIFFERENT SCALE
12 Week Average and Standard Deviations
MARKET SHARE
MARKET SHARE BY SYMBOL
TRADE SIZE BY SYMBOL
Z-Score Avg.
Z-Score Std. Dev.
Z-Score Avg.
Z-Score Std. Dev.
Z-Score Avg.
Z-Score Std. Dev.
UBS ATS
3.88
0.06
1.46
0.01
-0.57
0.05
Crossfinder
2.06
0.08
1.00
0.04
-0.47
0.04
Deutsche Bank SuperX
1.29
0.08
0.77
0.05
0.03
0.03
MS Pool
0.95
0.08
0.75
0.02
0.34
0.04
JPMX
0.80
0.09
0.42
0.06
-0.20
0.08
BIDS
0.45
0.10
-0.08
0.09
0.69
0.06
Level ATS
0.28
0.07
0.12
0.06
-0.18
0.04
BAML Instinct X
0.20
0.06
0.08
0.03
-0.46
0.06
Barclays LX
0.20
0.05
0.08
0.06
-0.25
0.08
Knight Match
0.16
0.06
0.09
0.07
-0.35
0.04
GS Sigma X
0.14
0.05
0.29
0.07
-0.05
0.06
ITG Posit
-0.01
0.07
-0.14
0.06
0.31
0.04
Instinet CBX
-0.07
0.05
-0.11
0.08
-0.05
0.08
Fidelity CrossStream
-0.21
0.09
-0.51
0.03
0.71
0.05
MS Pool3
-0.29
0.06
-0.40
0.08
-0.83
0.06
Liquidnet Negotiated
-0.44
0.05
0.56
0.10
1.64
0.01
Convergex Millennium
-0.50
0.02
-0.95
0.04
0.02
0.05
Interactive Brokers IATS
-0.50
0.03
-0.64
0.04
0.46
0.06
Ci ti Cross
-0.56
0.02
-0.91
0.05
-0.17
0.06
BlockCross
-0.59
0.03
-0.28
0.09
1.53
0.02
Liquidnet H20
-0.59
0.04
-0.08
0.11
1.36
0.07
Instinet Cross
-0.66
0.02
-0.88
0.07
1.33
0.06
PDQ ATS
-0.67
0.03
-1.05
0.04
-0.66
0.06
Luminex Trading
-0.73
0.03
0.12
0.15
1.55
0.02
Citi Bloc
-0.76
0.03
-0.49
0.12
1.52
0.03
MS Pool2
-0.76
0.02
-1.34
0.03
-0.52
0.06
Weeden Cross
-0.80
0.03
-1.44
0.14
1.16
0.10
Aqua
-0.80
0.02
-0.53
0.19
1.49
0.04
Barclays Direct X
-0.81
0.01
-0.66
0.42
1.54
0.08
Ustocktrade
-0.81
0.02
-1.29
0.06
-0.74
0.10
Please share with us your feedback. Let us know if you find this information useful. If so, how?
If not, why not? We welcome your comments, questions and suggestions.
[email protected]
+1-646-674-2047
Liquidnet.com
NEW YORK • LONDON • HONG KONG • SINGAPORE • SYDNEY • TOKYO • TORONTO
The ratings contained herein are for informational purposes only and are not intended to be utilized in any routing or best execution decisions.
© 2017 Liquidnet, Inc. Member of FINRA/SIPC. ON A DIFFERENT SCALE
3/17