Citi Match, Citigroup's broker crossing network, and Liquidnet, the buy-side led block trading venue, have both seen a surge in volumes in Q1 2011, suggesting that the buy-side's increased comfort with trading in the dark is growing.
In Europe, Citi Match reported executing €22.8 billion worth of trades during Q1 2011, up 90% from €12 billion during the same period in 2010. The platform, which forms part of the service offered to Citi's electronic execution clients, along with algorithms, direct market access tools and smart order routing, also reported an average spread capture of more than 75% in Q1.
Liquidnet Europe set a new quarterly record marking a 13% year-over-year increase in principal traded, jumping to £14.3 billion (€16.1 billion), or roughly £227.5 million (€257.6 million) in principal traded daily. In Asia, Liquidnet recently reported a rise of 32% in principal traded year-on-year to US$4.95 billion. The average size of a trade in the Asia-Pacific region on Liquidnet’s platform was more than US$1.4 million for Q1.
Liquidnet US saw a 19% quarter-on-quarter increase in average daily volume, rising to an average 59 million shares per day. It noted a greater institutional conviction in the quarter, executing 22 million-share or greater prints in March and a total of 53 for Q1 2011, the most recorded at Liquidnet since Q1 2009.
The growth in European dark trading, seen in January and February, was ascribed by US boutique agency broker Rosenblatt to a ”ramp up' period across the continent, as new platforms launch and seek out order flow.
Although buy-side firms are increasingly willing to trade in the dark, concerns over a lack of transparency around execution remain. Improvements to the post-trade data transparency regime will be tackled in the EC's MiFID II proposals, which are now expected to be ready for July 2011.