On October 3, the Financial Industry Regulatory Authority will begin publishing monthly statistics on block-size trades occurring on alternative trading systems (ATSs). The statistics regarding ATS block-size trades will be aggregated across all National Market System (NMS) stocks (i.e., there will be no security-by-security block data), will be for a time period of one month of trading, and will be published no earlier than one month following the end of the month for which trading was aggregated.

FINRA will provide information on trades using share-based thresholds, dollar-based thresholds, and thresholds that include both shares and dollar amount. Initially, FINRA will publish data with thresholds for ATS block-size trades in the following categories:[1]

  • 10,000 or more shares;
  • $200,000 or more in dollar value;
  • 10,000 or more shares and $200,000 or more in dollar value;
  • 2,000 to 9,999 shares;
  • $100,000 to $199,999 in dollar value; and
  • 2,000 to 9,999 shares and $100,000 to $199,999 in dollar value.

For each of these categories, FINRA will publish monthly trade count and volume information for each ATS aggregated across all NMS stocks. As a convenience for users, FINRA will also calculate and display the average trade size and each ATS’s rank as well as “ATS Block Market Share” (i.e., the proportion of each ATS’s block-size trading volume in relation to total block-size trading by all ATSs) and “ATS Block Business Share” (i.e., the proportion of a particular ATS’s overall trading volume that was done as block-size trades) and rankings of those metrics for each of the above categories.

More information is available here.

[1] Any future changes to these thresholds will be announced in advance in a Regulatory Notice or similar publication. See Rule 6110(c)(2).