News & Views

Liquidnet’s Dark Pool Value Index (DPVI): Month of June 2017


The new school year starts in a few weeks. Millions of children and their helicopter parents are readying for another year of dizzying logistical challenges.

While routing children to school requires planning and coordination and can involve kicking and screaming, at least the destination is clear. It is a different story with child orders. The degree of fragmentation and lack of off-exchange attribution in the US makes routing decisions fraught with uncertainty. Off-exchange block liquidity is even more difficult to track as FINRA Block ATS data is not available at the symbol level and is only published monthly.

This brings us to our Block Dark Pool Value Index which includes June’s 2017 ATS data, the latest from FINRA. For a refresher on the methodology behind the Block DPVI please refer to Exhibit B below. We have excluded Tradeweb Dealerweb from this analysis as our focus is on single stocks and the ATS weekly data shows that Dealerweb only crosses ETFs.

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