Citi and Credit Suisse reveal Q3 dark pool stats

Two of Europe's largest broker-operated dark pools have reported their trading volumes for the third quarter of 2010.
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Two of Europe's largest broker-operated dark pools have reported their trading volumes for the third quarter of 2010, with Credit Suisse's Crossfinder experiencing a 23.3% drop in the value of trades crossed that mirrored quarter-by-quarter declines in Europe's displayed equity markets.

According to the bank's own figures, Crossfinder traded €15.038 billion in Q3, down from €19.627 billion in Q2. Citi's Citi Match dark pool traded €16.3 billion in Q3, similar to the total it reported in Q2.

Citi Match's figures are 66% higher than the €9.8 billion traded in Q3 2009, while Crossfinder rose by 46% year on year from its Q3 2009 total of €10.3 billion.

Credit Suisse's Crossfinder figures are single counted, reported in euros and only include trades that involve client orders. It does not include large trades the bank conducts with itself using Crossfinder or executions resulting from orders routed to other dark pools.

The figures from Citi Match incorporate all client trades, but also include principal to principal trades between the bank's individual trading desks, which Citi says are primarily derived from client trades.

According to Jack Vensel, managing director and head of electronic trading, EMEA, Citi, the bank's steady quarterly performance is a result of recent changes to its routing and direct market access technology.

“We experienced 36% month-on-month growth in September, which was a direct result of switching our DMA offering from NeoNet to our own Color Book 2 Direct Smart Routing tool. This has resulted in a large proportion of DMA flow now being passed through Citi Match when it wasn’t previously. We have also expanded the scope of our own internal liquidity that passes through Citi Match to approximately 90% from about 15% two years ago,” said Vensel.

Before the implementation of Color Book 2, Citi used agency broker and DMA provider NeoNet's XG Market Gateway for client DMA orders.

Total displayed trading in Europe fell by 23.27% in Q3 2010 to €1.859 trillion from €2.423 trillion, according to Thomson Reuters' Equity Market Share Reporter.

Total trading in Europe's dark multilateral trading facilities (MTFs) suffered only a modest 4.56% decline to €49 billion for Q3 from €51.34 billion in Q2. The largest dark MTF during the quarter was London Stock Exchange-owned Turquoise's mid-point dark pool, which traded €13.2 billion in Q3, up from €10.2 billion in Q2.