26 January 2010

Co-Authors

Justin Schack

Director, Market Structure Analysis

Joe Gawronski

President and COO

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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

Special Issue: 2009 in Review

“Take the highway to the end of the night
Take a journey to the bright midnight
Realms of bliss, realms of light
Some are born to sweet delight
Some are born to the endless night.”

— Jim Morrison, 1967 (“End of the Night,” from the album “The Doors.”)

Dark pools established their third consecutive monthly market share record in December, continuing a strong post-financial-crisis growth trend. The 17 non-displayed venues we track executed 10.15% of consolidated US equity volume last month, up from 9.66% in November. Aggregate dark-pool volumes were off by 1.29% month-to-month, but consolidated trading activity declined by a greater pace, falling 6.09% from November (see “The Numbers” table on next page).