Market Structure Reports

Some highlights from this issue:
• Dark pools executed approximately 14.90% of US equity volume last month, up 19 bps from July’s 14.71%
• Although volatility decreased, all major block-focused pools saw m/m volume declines
• Dark-pool average daily volume increased 2.39% m/m, to 915.4 million shares, as consolidated ADV increased by a lesser margin of 1.10% m/m
• Hidden orders on lit markets accounted for 8.32% of US volume in August, down 15 bps m/m
• We provide commentary and context about the latest dark-pool settlement involving Citi Match