News & Views

Liquidnet’s Dark Pool Value Index (DPVI): Character vs Consistency

In this edition of Liquidnet's Dark Pool Value Index (DPVI), Adam Sussman—Head of Market Structure and Liquidity Partnerships at Liquidnet—talks about he believes that value is best demonstrated through outperformance in a particular category when assess a dark pool. Consistency is also a desirable trait but should be treated with caution.

Adam has also highlighted the seven top block pools according our most recent release of FINRA ATS Block data. These ATSs comprised more than 70% of the Block ATS market share from May through July. The comparison between the two different data sets help illuminate the different characteristics.

Liquidnet’s Dark Pool Value Index (DPVI): Week of 4/24/2017

Liquidnet's Adam Sussman addresses the two week lag between FINRA’s release of the Tier 1 and Tier 2 ATS Transparency Data in his latest Dark Pool Value Index (DPVI).

Year to date, Tier 2 equities have accounted for roughly 38% of the total ATS volume, a sizable portion. Unfortunately, the Tier 2 data is released an additional two weeks after the Tier 1 data (four weeks from the original trading week). By the time the market receives the Tier 2 data, it is considerably stale. While we see no compelling reason for the additional delay, how much of a difference is there between the two data sets?

Liquidnet’s Dark Pool Value Index (DPVI): Week of 2/24/2017

Adam Sussman, Liquidnet's Head of Market Structure and Liquidity Partnerships, used FINRA ATS Data for a 12 week period ending 2/24/2017 to create the ranking for this Dark Pool Value Index. 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.

Liquidnet’s Dark Pool Value Index: Week of 12/05/2016

Adam Sussman, Liquidnet's Head of Market Structure and Liquidity Partnerships, talks about how the Dark Pool Value Index (DPVI) does not take into account the magnitude of difference among the dark pools. In a brute ranking system, the end results dominate the story and the difference between 1st place and 2nd place becomes easy to overlook. This can mask the fact that there are some dark pools that have meaningful differentiation – and that many are very similar.

Introducing Liquidnet’s Dark Pool Value Index

Since FINRA began publishing ATS volume, brokers and other analysts have used the data in various ways to rate or rank the various trading venues. However, we believe that none of the analysis presents this data in a way that is relevant to asset managers. To help fill this void, Liquidnet has developed the Dark Pool Value Index that ranks each ATS based on the factors that are most meaningful to an institutional investor (market share, market share symbol rank, and trade size by symbol).