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?