Tuesday, 15 September 2015

UBS and IEX gain - ITG lose - FINRA ATS Tier 1 Weekly Stats

The new weekly FINRA ATS Tier 1 Stock volume report came out yesterday for the week of Aug 24. It was a big week for volume in the markets. The total number of shares trading in the pools increased 37% from 3.7B the week prior to 5.1B for the week of 24 Aug.

As you can see from the chart below, UBS gained share to become the #1 ATS for Tier 1. IEX's gain in share was also notable though its ranking remained steady at #3.

The ITG POSIT slump continued. You can see their share in the chart below as the big orange line. In a week of improved volumes,  ITG's volume actually decreased. ITG's share dropped to 1.62% to be 67.1% below the recent minor peak of 4.92% share reported 20th July. ITG POSIT would now need to better than triple its market share to regain the ground it has lost since 20 July which is a similar story to that recently reported in ITG's August report regarding ITG POSIT Alert, their large block platform.

ITG POSIT market share summary

Date Volume Tier 1 ATS %
Total Volume Tier 1 ATS
24 Aug 82,129,300 1.62%
5,078,863,139
17 Aug 82,526,400 2.23%
3,708,216,728
10 Aug 78,325,400 2.41%
3,247,886,460
3 Aug 96,944,300 2.62%
3,693,676,062
27 Jul 144,365,800 3.88%
3,721,476,946
20 Jul 175,855,300 4.92%
3,575,618,895
13 Jul 142,353,700 4.57%
3,115,440,140
6 Jul 167,849,900 4.84%
3,467,172,754
29 Jun 127,840,200 4.76%
2,687,323,287


(Click to enlarge)
ATS data is provided via www.FINRA.org/ATS and is copyrighted by FINRA 2015


Thursday, 10 September 2015

ITG - POSIT Alert down 68% for Aug - tripling would not recover to normal

ITG released their usual monthly update on trading volumes via an SEC Edgar 8K form today.

The filing fills in a bit more of the picture of declining volumes that has been discernible from the FINRA ATS volumes. Let's meander through.

Firstly, we need to consider the market environment.

The market was busy in August, in case you hadn't noticed. The consolidated market was around 7.92 billion shares average daily volume (ADV) for August 2015, which from August 2014 at 5.24B ADV, represents an increase of 51% over the same month from the prior year. August 2015's consolidated volume represented an increase of 17.5% from July 2015's 6.74B ADV.

July was a busy month for ITG with 16.2M ADV for the block oriented POSIT Alert and 101.0M ADV for regular POSIT.

All things being equal, ITG should have seen increased volumes in August given the market state, except for that little old SEC report and settlement. That takes us to ITG's 8K filing:

ITG U.S. Trading Activity




# of
Trade
Days

Total U.S.
Volume

Average U.S.
Daily Volume

Average
POSIT
Daily
Volume

Average
POSIT
Trade
Size

Average
POSIT
Alert Daily
Volume

POSIT
Alert
Average
Trade Size

POSIT Alert
Avg. Trade
Size Ex-
Algos*



















August 2015

21

2,806,911,287

133,662,442

55,991,590

241

5,095,790

15,595

29,087



















Year-to-Date:

167

30,318,518,530

181,548,014

89,134,210

261

14,671,070

15,586

33,926


*Excluding shares crossed through POSIT Alert from ITG algorithms

The year to date figures include August, so if we back those out we get:


# of Trade Days Average POSIT daily volume

Average POSIT Alert daily volume
August 2015
21 55,991,590 -40.37%
5,095,790 -68.25%








Year-to-July:
146 93,901,299

16,048,336

Remarkably if POSIT Alert volume now tripled, POSIT Alert will not have recovered to the prior levels. Quite some remediation is required.

The scandalous SEC settlement came out on Aug 12. So, although a prospective settlement was announced late July, the market's full understanding did not kick in till half way through August. Offsetting this overstatement of "current" or immediate volume embedded in the monthly statistics is the fact that the ITG DC had shut-down temporarily affecting volume.

This is just for the US. The 8K reports the following with regard ex-US business,
"The average daily commissions in August 2015 in ITG’s Canadian, European and Asia Pacific businesses was down a combined 35% compared to the second quarter of 2015."
This comment,
"During August 2015 there was an increase in the percentage of trading activity from sell-side clients as compared to the level in the second quarter of 2015, significantly reducing the overall average revenue per share."
indicates that besides an exaggerated negative effect on revenue, the the buy-side has been the larger portion of the volume disappearance. You have to wonder why the buy-side trades with ITG at all, especially knowing they are paying more than the sell-side.

The decrease in volume is worse than it seems as market volumes have increased significantly.

The ITG share price finally crashed through the 52-week low today settling at $14.21 which was -7.85% for the day. The Board members who were sitting prior to 2011 have still not resigned. Why is Gasser still listed at being a director on the board? Does ITG sill prop trade? Did ITG mislead the US Senate in testimony? The class action law suits continue brewing.

It's not an easy time for the many good staff at ITG let down by their board and a few senior managers.

Tuesday, 8 September 2015

ITG - POSIT market share decline continues

The market share of ITG's POSIT dark pool slipped a place in the rankings to fifteenth according to the FINRA data released today, being for the week of 17 August 2015. POSIT had a small decline in market share to 2.23% of all ATS Tier 1 shares by volume which is a loss of approximately 55% of market share since 20 July 2015.

The following board members have not resigned from ITG's board; they should:

  • Maureen O'Hara (Jan 2003 -)
  • Minder Cheng (Nov 2010 -)
  • Christopher V Dodds (Jun 2008 -)
  • Robert C Gasser (Oct 2006 -) 
  • Timothy L Jones (Mar 2005 -) 
  • Steven S Wood (Feb 2010 -)


ITG POSIT statistics for Tier 1 US Stocks - released by FINRA 8-Sep-2015


Date Volume Tier 1 ATS %
17 Aug 82,526,400 2.23%
10 Aug 78,325,400 2.41%
3 Aug 96,944,300 2.62%
27 Jul 144,365,800 3.88%
20 Jul 175,855,300 4.92%
13 Jul 142,353,700 4.57%
6 Jul 167,849,900 4.84%
29 Jun 127,840,200 4.76%


ATS data is provided via www.FINRA.org/ATS and is copyrighted by FINRA 2015

Tuesday, 1 September 2015

ITG Posit - market share now 50% below peak

The latest Finra Tier 1 ATS Stock data was released 31 August. It shows the ITG Posit share slide continuing after the scandal announcement.

However, the slide from the previous week is small and within the bounds of regular noise in market share.

The notable statistic is that the 10-August share of 2.41% is over 50% below the 20-July recent pre-scandal disclosure peak. It is 50.5% of the four weeks of pre-scandal market share. You'd expect that the recent data centre problems and temporary shut-down of Posit will not help the statistics improve in a months time.

ITG POSIT Tier 1 Statistics - FINRA release 31 August 2015


Date Volume Tier 1 ATS %
10 Aug 78,325,400 2.41%
3 Aug 96,944,300 2.62%
27 Jul 144,365,800 3.88%
20 Jul 175,855,300 4.92%
13 Jul 142,353,700 4.57%
6 Jul 167,849,900 4.84%
29 Jun 127,840,200 4.76%

(Click the graphic above to enlarge)
ATS data is provided via www.FINRA.org/ATS and is copyrighted by FINRA 2015