Data published today by the Australian Stock Exchange (ASX) show dark pool volumes have maintained a downward trajectory since new rules on price improvement were introduced at the end of May by the Australian Securities and Investments Commission (ASIC).
We reported three weeks ago that dark pool volumes were down by one third. The downward velocity continues. Australia’s dark pools now only transact approximately 50% of the business that they did in May 2013, before the rules changed.
The cash market report from the Australian Securities Exchange (ASX) for the week ended 28 June 2013 shows another tumble in dark pool volumes to A$777.3 million.
The cash report says that during the week ended 24 May 2013 there was A$1,448.3 million of off-market recorded volume.
In the week preceding the rule change, 11.9% of that business was done on ASX CentrePoint and 1.7% via Chi-X’s mid-pegged order type. Those percentages have moved upwards throughout June to 16.5% and 2.6% respectively in the week ending 28 June 2013.
The new rules called for price improvement for orders below block size so that trades had to be crossed at the mid-point or improve by a full tick. It excluded many dark trades that had been permitted to be executed at the NBBO (best bid or offer).
At the time of the change, market commentators predicted correctly that it would lead to some dark pools experiencing a drop in volume, with a simultaneous shift of equity market liquidity to lit venues and mid-point crossing services.
ASIC says it is also keeping an eye on dark pools and is monitoring price improvements, but it is not going to proceed for the time being with implementing a trigger for a minimum size threshold for dark trading.