Black pool data question

D

doubleaxel1951

Do the volume and price of stocks traded in black pools show up in the volume and price of stocks on an intraday (or even historical) basis (for instance on cnbc.com or my trading platform)?

From all I could gather, it sounds like black pools are required to print this information on the consolidated tape (recorded as over the counter) within 90 seconds of a trade being made. I do understand that black pools do not show what happens before and during a trade, but they must show what happened after the trade (even if it is slightly delayed), correct? By the way, is the data from the consolidated tape then reflected in the volume and price of a stock?

I became confused because I read that Credit Suisse has stopped giving their data to Tabb group and Rosenblatt Securities. (See for instance, http://www.businessweek.com/articles/2013-04-22/credit-suisse-making-dark-pools-even-darker ). The articles make it sound like CS is hiding a bunch of information. But aren't they required to give this information on the consolidated tape anyway?

Thank you.
 
Yes, these trades are reported to the FINRA ADF (alternative display facility). The consolidated tape should have this. For other feeds, it depends on the vendor, not all vendors can provide this data.
 
Quote from fareastcoast:

Yes, these trades are reported to the FINRA ADF (alternative display facility). The consolidated tape should have this. For other feeds, it depends on the vendor, not all vendors can provide this data.
More...


Thanks for the info. Heard about ADF for the first time. On reading more about it, it seems that FINRA through ADF has allowed participants to post their quotes and trades on ADF and it is reflected on the consolidated tape. However, it seems that posting trades and quotes on ADF is not a requirement.

So, it is possible that ADF has limited information about trades and quotes happening on dark pools.

Another thing - website about ADF has been last updated in 2007 - very strange. Maybe no body cares about it ??

http://www.finra.org/Industry/Compliance/MarketTransparency/ADF/

http://www.finra.org/Industry/Compliance/MarketTransparency/ADF/Participants/p010347
 
Quote from gmst:

Thanks for the info. Heard about ADF for the first time. On reading more about it, it seems that FINRA through ADF has allowed participants to post their quotes and trades on ADF and it is reflected on the consolidated tape. However, it seems that posting trades and quotes on ADF is not a requirement.

So, it is possible that ADF has limited information about trades and quotes happening on dark pools.

Another thing - website about ADF has been last updated in 2007 - very strange. Maybe no body cares about it ??

http://www.finra.org/Industry/Compliance/MarketTransparency/ADF/

http://www.finra.org/Industry/Compliance/MarketTransparency/ADF/Participants/p010347
More...

Actually, there are several ADFs. FINRA operates one, and darkpools are required to report to it. But it is not the only one they can report to. There are also ADFs run by NYSE and Nasdaq OMX. Those are newer and seem to be getting more popular, you can certainly find more recent information on the NYSE/Nasdaq ADFs. The FINRA ADF is still in operation of course, on my tick data feed, I still get prints from them.
 
Hi all!


I took a class from Georgia Tech taught by a former Hedge Fund programmer and risk-management officer. We had to listen to Ameritrade go into great details how a "dark pool" is the best thing since sliced bread!

The volume is reported on F-ADF and is often used by a broker and Market Maker in the firm we are trading through. This might not be the case with Direct Access brokers but with bigger firms like Ameritrade and Etrade, Schwab, Merrill and Goldie, we the Trader are suppose to get better price enhancement by allowing our orders to not see the light of the Nasdaq Total View or NYSE Order book.


I have 1500 shares of Google I want to unload quick, bid-ask is $880.29 x 880.65 and I send my order out at a limit of $880.37 and I get filled at $880.39115 and another print posts identical size print goes off at $880.5999 never ever making it onto Total-view. I got $880.39115 for my 1500 shares and the guy who wanted to buy shares at that point took mine and my broker never risked a penny. He made $350 bones without risking any of his own capital. Schwab was big on Dark Pools and "In House Matching, Etrade was a Dog with this, they dragged their feet even if they had a cross trade at the moment and never added price improvement.



Dark-Pools are coming big, not so ominous as they sounded before I listened to Ameritrade's CEO explain all this to his finance students and code writing starry eye kids hoping for a spot in the Hedge Fund Risk department, maybe helping Mr. Cohen stay out of trouble?
 
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