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The US equities market is fragmented, with dozens of dark pools and exchanges offering hidden order types. Each operator finds something to love in its own pool, but skeptical observers have questioned how much unique liquidity, or unique value of any kind, the proverbial 31st dark pool really provides.

To begin to address this question, we analyzed correlations in midpoint liquidity across two dozen trading venues. If everyone effectively has access to all the dark pools—either

Pragma’s new research note discusses some deep challenges in the buyside’s effort to understand which trading venues provide the best execution quality, and whether brokers are routing their orders appropriately. The challenge is fundamental: the data that buyside clients currently receive from their brokers regarding where orders were filled is simply inadequate for the purpose of evaluating the quality of the venues that brokers route child orders to, or the quality of brokers’ routing policies.

This

The industry seems to be coalescing around the idea of eliminating maker-taker as a first step in US equity market structure reform. Congress is asking for a pilot. Nasdaq started one unilaterally. NYSE proposed capping fees and eliminating rebates, and BATS is onboard with a tiered cap. It’s fine as far as it goes, but we haven’t seen a proposal that properly addresses the interests of investors and the buyside.

As a matter of principle, we