18 Nobember 2009

Co-Authors

Justin Schack

VP Market Structure Analysis

Joe Gawronski

President

Rosenblatt Securities Inc.
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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

"In the gentle light as the morning nears
You don't say a single word of your last two years
Well you will be, you've reached the frontier"

— Robin Pecknold 2008 (“He Doesn’t Know Why,” from the album “Fleet Foxes”)

Even as the SEC proposed new restrictions on them, dark pools reached yet another market-share record last month. The 16 non-displayed venues we track executed 9.20% of consolidated US equity volume last month, up sharply from an adjusted 8.49% in September. Total volume in these pools rose by 4.54%, to 855.3 million shares per day, even as consolidated activity declined by 3.47%, to 9.3 billion shares daily(see “The Numbers” table on next page).