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Equity Digest: Q3-2019

  • ID: 4897048
  • Report
  • December 2019
  • Region: Global
  • 39 pages
  • TABB Group
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FEATURED COMPANIES

  • Apex Clearing
  • BNY Capital Markets
  • Citadel Securities LLC
  • Goldman, Sachs & Co
  • NASDAQ OMX
  • UBS Securities
  • MORE
The strain on active management continues to transcend market structure. While the industry has been anticipating greater volatility, hoping it would improve volumes and commissions pools, it seems that while Q3 volatility was above recent averages – the average closing VIX for Q3 was 15.96% compared to 15.17% for Q2 2019 and 14.48% from January 2017 through October 2019 – ADV remained pegged to approximately 7 billion shares. The equity trading volume picture was unexpectedly stable given the impending impeachment investigations, an increasingly acrimonious political environment, questionable progress for trade negotiations, the ongoing Brexit quagmire, and the looming 2020 election.

The exclusive quarterly equity digest combines data from the SEC market structure website, SEC Rule 605 and Rule 606 disclosures, FINRA Rule 4552, self-reported Single-Dealer Platforms, exchange order type information, and the SIP.
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FEATURED COMPANIES

  • Apex Clearing
  • BNY Capital Markets
  • Citadel Securities LLC
  • Goldman, Sachs & Co
  • NASDAQ OMX
  • UBS Securities
  • MORE
  • Volatility And On - Vs. Off-Exchange Volumes
  • Historical Industry Volume, Off-Exchange % And Vix
  • Average Daily Notional/Shares Traded (Average Share Price Executed)
  • Average Daily Notional Vs. Shares Traded
  • Trade Size
  • Average Trade Size, Industry Average Trade Size, On-Exchange And Off-Exchange Trade Size
  • Odd-Lots As A Perecentage Of Trading
  • U.S. Equity Volume By Tape
  • Historical Industry Volume And Percentage By Tape
  • Quarterly Industry Market Share By Tape By Exchange
  • Monthly Trf Market Share By Tape
  • U.S. Equities Ats Participants And Volume Breakdown
  • Breakdown Of Market Centers And Participants
  • Dark Volume On- And Off-Exchange
  • U.S. Equities Volume Breakdown (Estimated)
  • Exchange Market Share
  • Historical Industry Market Share By Exchange
  • Historical Industry Market Share By Exchange Group
  • Hidden Volume On Exchanges
  • Historical Hidden Volume On Exchanges By Month
  • U.S. Equities Lit Vs. Dark Volume Breakdown (Estimated)
  • 2019 Percentage Of Hidden Volume By Exchange
  • Ats Volume Divide Total Number Of Atss
  • Volume Concentration In Top Vs. Bottom Atss Total Ats Blocks
  • Historical Ats Market Share
  • Sdp/Other Volume
  • Finra Non-Ats Otc Trading, Segmented By Category
  • Select Sdp Average Trade Size
  • Select Sdp Volume
  • Bulge Bracket Order Flow
  • Bulge Bracket Otc Trading Volumes
  • Bulge Bracket Otc Average Order Size
  • Retail Executions And Order Routing
  • Historical Retail Wholesaler Market Share (605, Markets)
  • Effective Spread Example
  • Historical Retail Wholesaler Execution Quality: S&P 500, 100-1999 Shares, Market Orders
  • Execution Quality By Retail Wholesaler: S&P 500, 100-1999 Shares, Market Orders
  • Retail Execution Quality Results From Reports
  • Retail Execution Quality By Broker Type – Based On
  • Reporting (S&P 500, 100-1999 Shares, Market Orders)
  • Retail Execution Quality By Retail Firms – Based On
  • Reporting (S&P 500, 100-1999 Shares, Market Orders)
  • Retail Execution Quality By Ats – Based On
  • Reporting (S&P 500, 100-1999 Shares, Market Orders)
  • Retail Execution Quality By Non-Bulge Bracket Brokers – Based On
  • Reporting (S&P 500, 100-1999 Shares, Market Orders)
  • Bulge Bracket Execution Quality By Bulge Bracket Brokers – Based On
  • Reporting (S&P 500, 100-1999 Shares, Market Orders)
  • Retail Execution Quality By Exchanges – Based On
  • Reporting (S&P 500, 100-1999 Shares, Market Orders)
  • Select Retail Firms’ Order Routing Disclosures (606)
  • Select Retail Firms Order Routing: Q2-19
  • Select Retail Firms Payment For Order Flow: Q2-19
  • Select Retail Firms Change In Order Routing: Q1-19 To Q2-19
  • Historical Select Retail Firms Order Routing To Top Five Retail Wholesalers (Averaged Across Tapes)
  • Exchange Order Types
  • Nyse Executed Shares, Order Types Usage
  • Cboe (Bzx, Byx, Edga, Edgx) Executed Shares, Order Type Usage
  • Nyse Arca Executed Shares, Order Types Usage Total Auctions By Percentagee Of Adv And By Adv By Exchange
  • Nyse And Nyse Arca Executed Shares, Auction Order Types Usage
  • Market Data Revenue
  • Sip Data Revenues
  • Sip Revenue By Exchange
  • Sip Revenue/Share Traded
  • Exchange Sip, Non-Sip Market Data Revenues And Non-Market-Data Data And Technology Revenues
  • Exchange Total Net Revenues, Transactional & Non-Transactional (Data, Tech, Listings & Fees)
  • About the Author
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  • Citadel Securities LLC
  • Virtu (formerly KCG)
  • UBS Securities
  • G1X
  • Citigroup Global Markets
  • Two Sigma Securities LLC
  • Wolverine Securities
  • Goldman, Sachs & Co
  • Apex Clearing
  • BNY Capital Markets
  • Cboe EDGX
  • National Financial Services
  • Bank of America Merrill
  • LynchNYSE Arca
  • LavaFlow ECN
  • NASDAQ OMX
  • BATS BZX
  • NYSE
  • Cboe BZXIEX
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