News & Views

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

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Out with the Old, In with the New

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?

When comparing the Tier 1 DPVI Ranking to the Overall DPVI Ranking over the week starting 4/24/17, most venues only move a spot or two. What this means for the big picture is that waiting for the Tier 2 data isn’t critical. Despite our complaints about the two week lag, perhaps there’s no use crying over spilled (stale) milk. That being said, there is considerable movement in the rankings when comparing the Tier 1 and Tier 2 names. For instance, Citi Bloc goes from #15 in Tier 1 to #11 in Tier 2 while Aqua moves up eight spots. Meanwhile, BIDS and JPMX both drop four spots. So if a tough-to-trade name is Tier 2, considerable insight can still be found by waiting the full four weeks for the FINRA data.

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