On October 3, the Financial Industry Regulatory Authority began publishing monthly data on block-size trades occurring on alternative trading systems (ATSs). Statistics for ATS block-size trades are being aggregated across all National Market System (NMS) stocks for a one-month trading period and will be published no earlier than one month following the end of the month for which such trading was aggregated. The initial report covers August ATS trades.
In defining a block-size trade, FINRA uses both share-based and dollar-based categories. For each category, FINRA publishes and displays information including, but not limited to: (1) the “ATS Block Market Share” (the proportion of each ATS’s block-size trading volume in relation to total block-size trading by all ATSs); (2) the “ATS Block Business Share” (the proportion of a particular ATS’s overall trading volume done as block-size trades); and (3) rankings of those metrics for each category. Such information is published on the OTC Transparency Data portion of FINRA’s website under the “ATS Blocks” and “ATS Blocks Download” tabs.
The ATS block-size trade data is available here.
The FINRA news release is available here.