Introduction

FINRA data is a widely used tool for measuring liquidity and volume executed off-exchange, especially volume traded in ATS venues. On October 3, 2016, FINRA began publishing monthly information on block-sized trades occurring on ATS venues to aid institutions in determining which venues are best for sourcing outsized liquidity.

Below are FINRA ATS block-trading statistics for January 2017, including data that highlights the overall trends of block volume and ATS total volume.

 

Data Highlights

  • Luminex had the highest rank for ATS Average Trade Size in the following categories: 10,000 shares and above, and 10,000 shares and $200,000 combined.
  • Block trading statistics are available dating back to August 2016, and since then, block volume executed in ATS venues (10K and above) has increased 12.5%. However, during that same period, total ATS volume declined by 11.0%, an indication that traders are continuing to seek out block liquidity and being more selective with venues in periods of lower turnover.
  • On a weekly basis, ATS volume in general has experienced a steady decline. Since January 2016, total ATS volume has fallen by 24.2%.
  • Since the week of April 4, 2016 – the date FINRA began publishing the remaining OTC volume – ATS volume has declined 2.0%, while the remaining volume executed off-exchange increased by 10.0%.

Luminex Block Trading Statistics – January 2017

Excluding Dealerweb, Luminex had the highest rank for ATS Average Trade Size in the following categories: 10,000 shares and above, and 10,000 shares and $200,000 combined, and the second highest rank for $200,000 and above (see below).

*Excludes Dealerweb

*Excludes Dealerweb

*Excludes Dealerweb

Total ATS Volume

FINRA OTC Volume Overview

  • FINRA began publishing data on the activity level of registered Alternative Trading Systems (ATS) in June 2014. ATS volume accounts for roughly 14% – 15% of total market volume.
  • On April 25, 2016, FINRA furthered its transparency effort and began publishing, by member firm and security, the remaining OTC equity volume executed away from ATSs, approximately 20% of total market volume.
  • On October 3, 2016, FINRA began publishing monthly information on block-sized trades occurring on ATS venues.
  • Data Source: https://otctransparency.finra.org/

Anna Ziotis Kurzrok
Market Strategy & Senior Sales
Luminex Trading & Analytics LLC

For investment professional or institutional investor use only. Not authorized for distribution to the public as sales material. Luminex Trading & Analytics LLC Member FINRA, SIPC