While month over month overall trading volume increased by half a percent in June, dark pools volume dropped by 5 percent, the third straight monthly decline, according to the monthly TABB Equities Liquidity Matrix.

Tabb June dark pools volume

Barclays LX tops dark pools decline

Of the dark pools, Barclays PLC (ADR) (NYSE:BCS) (LON:BARC) LX witnessed the largest share decline in daily trading volume from an average of 95 million shares traded per day in May to 82 million shares traded in June. Other large dark pools to see significant month over month drops included UBS AG (NYSE:UBS), dropping from 84 million shares traded in May to 79 million shares traded daily in June; MS Pool [Morgan Stanley (NYSE:MS)] which dropped from 71 million shares traded to 65 million in June; and Knight Link (Knight Capital) declined from 56 million shares traded in may to 48 million in June.

Citadel’s Connect dark pool showed a slight increase in month over month volume, as did Deutsche Bank AG (NYSE:DB) (ETR:DBK)’s Super X dark pool and the IEX exchange, which was the biggest positive mover, going from 31 million average daily share volume in May to 37 million in June. IEX was the “hero” in the book “Flash Boys,” which showed how the exchange mitigated technical advantages afforded to high frequency trading firms.

Tabb June Dark pools stock cap


Decline in dark pools trading volume came amid a flurry of activity

The decline in dark pool volume came amid a flurry of activity during the month. Securities and Exchange Commission Chairwoman Mary Jo White outline 13 directives to strengthen equity market structure at Sandler O’Neill conference, which was observed by some industry watchers as particularly aggressive relative to HFT.  On June 25th New York Attorney General Eric Schneiderman filed fraud charges against Barclays dark pool, which is attributed for the dramatic drop in trading, most of which will likely appear on Tabb’s July report.

Tabb Dark pools June report


The Tabb report showed that Barclays PLC (ADR) (NYSE:BCS) (LON:BARC) engaged in mostly large cap trades during the month, accounting for 65 percent of its volume.  Other trading venues with a high percentage of large cap trades included ConvergEX Group Millennium, with large cap trades accounting for 56 percent of the volume, to Knight Match from Knight Capital having large cap stock trades account for 53 percent of the volume.  Further, block trading, of 10,000 or more shares at one time, accounted for 100 percent of the trading volume at Barclays DirectEX platform and 98 percent of volume at Liquidnet Negotiated platform.

In March ValueWalk reported that Tabb had anticipated we would see a drop in dark pool volume. That has occurred in the three subsequent months following that prediction.