European dark pools reached a record proportion of pan-European value traded in January 2011, with total dark pool activity estimated at between 3.5-4.5% of consolidated turnover.
The figures, released as part of boutique agency broker Rosenblatt's “Let there be light” dark liquidity tracker, indicated that aggregate turnover for the 15 pools that are followed was €1.81 billion per day, up 61.17% month-on-month, far higher a rate than the 35.28% growth of total consolidated pan-European value traded.
The fastest month-on-month growth was made by multilateral trading facility (MTF) BATS Europe Dark, whose aggregated daily value traded was up 104%, it was followed by Turquoise (up 89.15%) Credit Suisse Crossfinder (up 70.38%), Citi Match (up 65.24%) and Nomura (up 64.12%).
Rosenblatt, whose figures take into account the figures from the broker crossing networks of Crossfinder and Citi Match in addition to MTFs, estimates that overall €2.4-2.5 billion was traded per day by the venues it tracks and the crossing networks of Deutsche Bank, JP Morgan, Morgan Stanley and UBS (which use the reporting facility Markit BOAT) comprise 3.25-3.38% of total European consolidated value. Taking into account the volume for broker pools that do not report either to Rosenblatt or Markit BOAT, the broker estimated that dark trading made up 3.5-4.5% of consolidated turnover in January.
The growth occurred despite increased volatility over the month, with which it typically has a negative correlation. Rosenblatt speculates that the European market is still in a ”ramp-up' phase, with new platforms launching and existing venues still in the process of gaining new users. Brokers and banks may also be preferencing their own liquidity pools prior to orders reaching the open market. This would tally with the behaviour that Rosenblatt saw in the equivalent period of market maturity in the US.
Dark MTFs have seen continued growth in February, which brokers have said is a reflection of increased comfort amongst buy-side firms with dark trading.
In February, Chi-Delta, the dark pool operated by MTF Chi-X Europe, accounted for €5.53 billion, or 24.91% of dark MTF market share, Turquoise traded €5.30 billion, or 23.76%, according to figures from Thomson Reuters. BATS Europe, which is awaiting regulatory approval to complete a takeover of Chi-X Europe, traded €2.98 billion, which gave it a 13.78% share of dark MTF trading, followed by block-focused dark pool Liquidnet, which traded €2.7 billion or 12.09% of the dark market share.