Buy-side-owned dark pool IEX, which launched in October, nearly doubled its average daily trading volume to over 10 million shares in December, according to its own figures.
The alternative trading system (ATS) registered a 73.5% increase in average daily trading volume to 10.066 million shares in December from 5.8 million in November – the dark pool’s first full month of trading.
The dark pool also listed its record trading day at 40 million shares, according to figures published on its website. The data also shows IEX has more than doubled the average order size compared to the top five ATSs by volume.
The December average order size hit 868 shares, above the average of the top five ATSs as listed by an October Securities and Exchange Commission (SEC) document which put the figure at 364 shares per order. In November, the average order size reached 816 shares.
IEX, which has championed dark pool transparency by making available its ATS filing explaining how the venue routes and executes trades, also listed the percentage of fills greater than 10,000 shares at 0.35% of overall activity, significantly higher than the SEC-stated ATS average of 0.08%.
In a statement accompanying the data, the firm said it continued to notice a multiplier effect when adding brokers that supply resting orders to the dark pool and predicted further growth after certain sell-side firms made expected tweaks to algorithms and routers accessing IEX.
IEX prioritises agency and riskless principal orders ahead of principal orders when a broker is trading with itself, while also providing free internalisation for brokers that match both sides of a trade.
It is owned by a group of investors including buy-side participants representing mutual and hedge funds and is supported by a broad number of brokers including large sell-side firms and agency brokers.