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Let There Be Light - European Edition

September 21, 2018

Some highlights from this issue:
• Dark MTF market share fell 19 bps in August (-217 bps y/y) to 3.44% of pan-European turnover
• Dark MTFs executed just over €2.32 billion per day, down 14.97% m/m (-36.57% y/y)
• Systematic internalizers traded €14.41 billion in August, or 21.36% of consolidated turnover, falling 117 bps m/m. However, SI data is still overstated due to inconsistent trade reporting practices
• Hudson River Trading/Sun Trading begins reporting its SI volumes to us. Combined, the four electronic-liquidity provider SIs reporting to Rosenblatt accounted for 5.8% of SI turnover in August
• We add volumes for Aquis’ Auction-on-Demand, making it the seventh periodic auction to join our dataset
• We take an early look at how venue market shares have shifted since the expiry of the first set of MiFID II double-volume caps on September 12

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