A Spotlight in the Dark

A Spotlight in the Dark: An Inevitable Debate

Miranda Mizen | V10:041 | November 2012 | www.tabbgroup.com

Global

Equities

http://www.tabbgroup.com/

2012 The TABB Group, LLC. All Rights Reserved. May not be reproduced by any means without express permission. | 2

A Spotlight in the Dark: An Inevitable Debate | November 2012

Vision

It is clear from the hearings in Washington, SEC investigations, academic publications1 and

water cooler conversations that at best, the US faces a severe image problem. We believe

that the industry’s ongoing market structure debate will lead to regulatory changes. Every

major development we have seen since Regulation NMS is under review. High frequency

trading, algorithmic trading, exchange order types, maker/taker pricing and dark pools have

all brought both benefits to a market place now struggling with the cost and complexity of

fragmentation and a lack of transparency into how the market really works.

TABB Group believes that there is overwhelming evidence that US equity markets are more

efficient for retail and institutional investors today than ever before. Spreads have

narrowed. Market impact has been reduced. Commission rates have declined. However,

because so many changes have occurred over such a short period, it is hard to assign

degrees of attribution, and there are significant costs in linking to and finding liquidity

across dozens of execution venues.

While the statistics have improved, a glaring number of high-profile market problems has

market participants concerned. Three dark pools have come under fire for disclosure issues,

two disastrous IPOs; Knight’s trading debacle; and there is controversial debate over some

exchange order types. These events then bring into question the very rules that govern

market structure, including the eroding difference between the roles of exchanges and

brokers.

This research piece looks at one component of the larger debate and continues our

exploration of issues that include high frequency trading, market data, investor confidence,

and the impact of market structure on the investor community. Here, we put the spotlight

on one of the more contentious debates around trading in the dark and we inquire into dark

execution on- and off-exchange. Like it or not, we believe the rules surrounding off-

exchange trading in US equities will change — it is only a matter of time. Already,

regulators in Canada, Europe, Australia, Asia and Latin America have acted, swinging the

market structure pendulum in favor of transparency and consolidation.

Dark execution exists in many forms both on- and off-exchange. Off-exchange, market-

makers match and better the NBBO, offer risk capital on demand or in the form of

actionable IOIs, and negotiate trades between natural buyers and sellers. Automated

Trading Systems (ATSs) outnumber the lit exchanges by about 3:1, and incorporate

institutional, retail, and high frequency flow. Their levels of ‘darkness’ vary, as a number of

1 See: “Internalization and Market Quality in a Fragmented Market Structure” by Daniel Weaver, Rutgers Business

School ( July 2011); “What’s Not There: The Odd-Lot Bias in TAQ Data,” by O’Hara, Yao and Ye (July 2011); “Do

Dark Pools Harm Price Discovery?” by Haoxiang Zhu, MIT Sloan School of Management (July 2012); and “Dark

Pools, Internalization and Equity Market Quality” by Rhodri Preece, CFA (October 2012).



ATSs broadcast indications of interest (IOIs) or order solicitations or have links to other

dark pools. The use of dark and undisplayed orders also on the exchange order books

essentially makes the difference between dark execution on- and off the exchanges

primarily one of regulatory framework rather than a debate over dark versus lit. These all

represent unique and valuable execution strategies, and there is danger in tarring all dark

activity with the same brush. Any review must consider both environments.

While the number of platforms is still growing, some believe that the market is starting to

find its own equilibrium. The buy side asks more questions and exerts greater control than

before over what happens to their orders and trading counterparties. Others in the industry

still expect more dark trading growth as the large brokers consolidate order flow and some

attract more high-frequency trading into their venues alongside institutions and retail.

When discussing the topic with brokers, we hear some are reassessing their dark strategies

and planning how to compete in a changing regulatory environment that favors a more

regulated, transparent model.

Market structure confidence in the US is low, one-third of US equity trading is executed on a

non-exchange venue, and the makeup of this volume lacks transparency. Concerns over the

levels of off-exchange trading and fragmentation are tempered with the worry about

unintended consequences and lack of alternative safe places to trade. Already there is lively

rhetoric about market structure across the industry, and it is probably only a question of

time before the SEC starts the consultation ball rolling again on a number of market

structure issues. Dark execution will be one of them.



Table of Contents

VISION ................................................................................................................................................................... 2

TABLE OF CONTENTS .............................................................................................................................................. 4

INTRODUCTION ..................................................................................................................................................... 5

THE GROWTH OF DARK EXECUTION....................................................................................................................... 8

AN ENTRENCHED PROCESS ............................................................................................................................................... 9

OFF-EXCHANGE TRADING AS A HEAT MAP ........................................................................................................................ 10

DARK EXECUTION ON THE EXCHANGES ............................................................................................................................. 12

THREE BIG QUESTIONS ........................................................................................................................................ 13

DOES THE PROTECTED QUOTE NEED BETTER PROTECTION? ................................................................................................. 13

SHOULD CRITERIA AROUND OFF-EXCHANGE TRADING BE ESTABLISHED? ................................................................................ 13

A QUESTION OF TRANSPARENCY AND FAIRNESS ................................................................................................................. 15

ACTION IS INEVITABLE ......................................................................................................................................... 17

ABOUT ................................................................................................................................................................. 18

TABB GROUP ......................................................................................................................................................... 18

THE AUTHOR........................................................................................................................................................... 18



Introduction

Currently, approximately 30% to 33% of all equity trading occurs off-exchange and is

reported to one of the Trade Reporting Facilities (TRFs)2. In addition, 40% or 3,191 publicly

traded securities listed on tapes A, B and C, had TRF trading volumes in excess of 40% in

September 2012 (see Exhibit 1). This trading is not only in small and less liquid securities;

some of the most liquid and highly capitalized securities have almost half of their trading

volume reported through the TRF (see Exhibit 2).

The percentage of off-exchange volume causes the exchanges to cry foul, contending that

the regulatory environment is uneven since dark execution is not subject to the raft of

regulations, standards and disclosure requirements required of exchanges (see Exhibit 3).

Yet exchanges also have a variety of order types that result in non-displayed activity and

dark execution, and have benefits that brokers do not obtain. Brokers shoulder clearing

fees; have best execution obligations in addition to Regulation NMS, which covers all

venues; and do not enjoy immunity from civil litigation by disgruntled clients. In addition,

exchanges receive market data revenue under the Consolidated Tape Association (CTA) and

Unlisted Trading Privileges (UTP) plans, and the tape revenue forms part of the exchanges’

decisions regarding transaction prices. The exchanges rebate market data revenue to

brokers for TRF volume, but brokers do not share the tape revenue on broker and client-

initiated exchange-traded volume.

2 Before becoming exchanges in 2008 and 2010 respectively, BATS and Direct Edge each reported their trading

volumes to the Trade Reporting Facility (TRF). When these are included, the percentage of off-exchange volume has been roughly consistent for years.

Exhibits 1 and 2

No. of Companies with >40% TRF Percentage of ADV Reported to the TRF

Volume, Sept 2012 in Select Stocks, Sept 2012

Source: CTA, UTP



Exhibit 3

Major Differences Between Exchanges and Off-Exchange Dark Pools

Source: TABB Group

Off-Exchange Dark Pools

Open to: Non-discretionary access. Limited

segmentation subject to SEC approval

Co-location Rules and fees SEC-governed and

public

Pre-trade Transparency None

Post-trade Transparency Yes but ATS identity not required

Tape Revenue Negotiated rebate of TRF revenue to

brokers

Price Regulation NMS + Best Execution

Sub-penny price Improvement No requirements

Order Ranking & Execution Rules Discretionary

Order Types Discretionary

Fees (trading, market data,

colocation/connectivity)

Client specific / undisclosed

Clearing fees Brokers pay

Legal l iability Unlimited

Regulation NMS

Function Exchanges

Access

Discretionary access (subject to 5%

threshold)

No requirements

Market Data

Best quote and total displayed size

provided to consolidated tape

Yes

Mandatory CTA/UTP distribution to

exchanges

Trading Rules

Liability

Limited for SRO functions

Mid-point & retail programs subject to

SEC approval

Subject to SEC approval and public.


Fees


Access fee cap at $0.003 per share

Routing broker only

Dark pool disclosure and discretion are also areas of conflict. Exchanges operate under

equal access rules and may not discriminate amongst flow or providers. To segment flow,

exchange firms operate multiple SROs with differentiated market and pricing models.

Exchanges also segment flow through a great variety of order types, often at the behest of

the broker-dealers, which are subject to SEC approval. For example, the NYSE Retail

Liquidity Program3 and other exchange-based programs allow incremental price

improvement within a regulated tick size and enable retail flow to be segmented.

While exchanges need to be non-discriminatory, the buy side expects brokers to

differentiate between different types of flow. ATSs are regulated by the SEC and FINRA and

must file changes such as order types and order ranking with the SEC, but brokers may be

discriminatory and are not required to offer fair access below a volume threshold of 5%.

Therefore when comparing dark pools, there are differences in latencies, resting times,

trading partners, rates and exposure to other dark pools. The buy side wants its brokers to

discriminate with its order flow as not all order flow is equal and some can be more toxic.

3 See TABB Group research: NYSE Retail Liquidity Program: An Innovative Approach to a Challenging Problem

http://www.tabbgroup.com/PublicationDetail.aspx?PublicationID=1136



Thus, anti-gaming and opt-out functions are generally prerequisite for broker dark pools. As

control by the buy side increases, so does the demand for more functions to directly

manage order flow, such as making more exchange order types available from the buy-side

desktop.

For brokers, the economics of matching flow avoids exchange fees, increases commission

and draws more liquidity. Brokers have direct access to the buy side and offer liquidity and

protection in an increasingly fast and HFT-prone exchange infrastructure. TABB Group

estimates that high-frequency trading accounts for 51% of average daily volume, and the

buy side is playing a tough game of algorithmic hide-and-seek in the search for liquidity in

the open markets. So the quality of the open markets, and the economic and fiduciary need

to minimize implicit and explicit costs makes the buy side willing partners in the dark.

Indeed dark pool formation has its origins in the buy-side demand for better execution and

more competition rather than just NYSE and Nasdaq. Dark pools have allowed liquidity to be

democratized rather than locked up within a few relationships and this has resulted in

reduced market impact4, reduced explicit costs and price improvement. The original ATSs

created an environment conducive to technology innovation and competition, and some of

today’s exchanges were at one time ATS platforms and operated as dark pools (e.g. when

Island went completely dark). However many market participants believe the equity

markets are now too fragmented and too opaque, and that dark pools contribute to this.

4 The total cost for an investor to get in and out of a share fell by more than half from 2000 to 2010, according to

research by Abel Noser.



Exhibit 4 Market Share of Major Exchanges and Aggregate

Dark, 2008-12

Source: Exchanges, Industry

Exhibit 5 Breakdown of Trading Volume, Sept 2012

Source: Exchanges, Industry, TABB Group

The Growth of Dark Execution Changes in regulation and technology have had a significant impact on the structure of the

equities market. Implemented in 2007,

Regulation NMS fostered significant competition

among markets and individual electronic

orders, and established notable rules around

order protection, access to quotes, and

minimum price increments (i.e., sub-penny

rule).

One major effect has been the growth in dark

trading over the last four years (see Exhibit 4).

In this exhibit we separate BATS and Direct

Edge volume in order to show the trend of dark

and internalized flow reported to the TRF.

The composition of off-exchange volume

reported to the (TRF) is not visible to the public

eye, so TABB Group estimates it5.

For the month of September 2012, we estimate

the breakdown as follows (see Exhibit 5):

67% exchange-reported volume, which

includes the execution of displayed and

undisplayed liquidity;

2% TRF volume reported by lit electronic

communication networks (ECNs);

17% of internalized flow, which includes

manually-traded blocks and electronic

internalization engines across 100+

brokers. This is the larger dark segment

and includes retail internalization from

wholesalers.

14% volume traded across dark pools

and crossing networks, comprising 38

dark electronic trading environments,

most commonly registered as alternative

trading systems (ATSs).

5 Starting with public data published by BATS Trading, we carve out the volume reported by exchanges. We then collate the monthly volumes from reporting ATSs. For those that do not disclose monthly, we estimate based on conversations with market participants and public data. This disclosed volume constitutes the percentage we apply to dark pools and crossing networks. The balance is then denoted as internalized. We publish our figures monthly in our TABB Group Liquidity Matrix.



Exhibit 6 Volume by Type of Dark Venue, 2008-12

Source: TABB Group

Muddying the water further, dark pools that report their monthly volume to TABB Group’s

Liquidity Matrix do include odd lots if they trade them. An extensive odd-lot study6 asserts

that the median number of odd-lot trades across the market is 19%, and they are traded

actively in the lit markets and in dark pools. However, odd lots are not published in the

consolidated quote or reported to the consolidated tape. This makes their trading obscure

although it occurs on lit markets, although the

volume traded equates to less than 3% of the

consolidated average daily volume.

We further break down the 14% dark activity,

since their ownership, execution methodologies

and value propositions differ. We divide them

broadly into three types, which range in terms

of participants, flow, functionality, external

links, cost models, price improvement and

transparency (see Exhibit 6):

Continuous (broker dark pools), which

account for the majority of venues,

volume and growth;

Block crossing networks, which

commonly have select membership,

larger prints and midpoint trades; and

Liquidity providers or ping networks,

which offer liquidity on demand.

An Entrenched Process

Dark trading today occurs virtually indiscriminately across exchange-listed securities. The

proliferation of dark pools and the common use of order solicitations mean that most orders

will be seen at least once before they reach an exchange (see Exhibit 7). For buy-side order

flow, trading in the dark is a mix between active participation, such as direct interaction

with a crossing network, and the use of an algorithm. Algorithmic orders check broker dark

pools first within the confines of the instructions on the order, using the exchange prices as

reference prices (see Exhibit 8). The inside quote is matched (or bettered) within the dark

pool, routed to another dark venue, or sent to the open market.

6 O’Hara, Yao and Ye, op. cit.



Off-Exchange Trading as a Heat Map

Looking across the market for the month of September 2012, the proliferation of dark

trading in security and pricing segments is evident (see Exhibit 9). In this heat map, we

apply traffic-light coloring to the average TRF share across the securities in different

security price/CADV segmentations. Segments in the darkest green represent price/CADV

combinations with the least amount traded in the dark, and the darkest red have the most

amounts, while eight price/CADV combinations do not have any securities that met both

criteria for the month of September.

Although this is a single month, there are observations to be made around some of the

clusters:

1. Low-priced active securities offer plenty of displayed liquidity to trade with, so there

is little risk in matching the price, especially for dark pools that contain high-

frequency trading. Low-priced securities also have a natural competitive spread

inside the minimum penny tick sizes required of exchanges, and this can be satisfied

in the dark. In addition, exchange fees in low-priced securities quickly add up.

2. High-priced, active securities often have wider spreads and a bigger outlay of capital

per quote, creating an unattractive trading environment for high-frequency trading

due to greater visibility and increased risk of not being able to either capture the

spread or get out at low cost. If the cost of providing liquidity off-market and the

realized spread are greater off-market, then the dark environment is more attractive

despite rebates on the open market.

Exhibits 7 and 8

Typical Flow of an Order Flow of an Order Through a Broker Dark Pool

Source: TABB Group



Exhibit 9

Market Segmentation Showing Percentage of TRF-Reported Volume, Sept 2012

Source: CTA, UTP

3. Low-priced, illiquid securities offer insufficient liquidity at individual price points for

high turnover. Under the JOBS Act of 2012, the SEC is examining whether larger tick

increments would benefit smaller companies and result in a more consolidated

grouping of liquidity at the price points. This of course will only be valid if such tick

increments are applied across the board7.

Events such as the rebalancing of the Russell Index will provide momentary redirection

of flow to the exchanges. In our sample month of September 2012, TRF volume would

have been approximately 1%-2% higher except for quadruple witching on September

20.

7See: “The trouble with small tick sizes: Larger tick sizes will bring back capital formation, jobs and investor

confidence,” by Grant Thornton.



Dark Execution on the Exchanges

Dark execution is also available on the exchanges, and every exchange has a variety of

order types that enable this. Each order type is associated with an exchange rule and orders

can be undisplayed, pegged, routed out to liquidity partners and executed at the best price

quoted by another exchange, all of which comprise dark execution. But each exchange’s

ability to compete is limited by its regulatory framework, such as clearing its own book

before pinging a network of liquidity providers, trading displayed liquidity before

undisplayed at the same price, before routing to dark environments and other lit exchanges.

The need for price discovery also means displayed liquidity and tight quotes receive the

highest rebates. However, dark orders traded on exchanges are reported as part of the

exchange’s total volume and this limits transparency into the levels of dark activity that

actually take place on exchanges. In September 2012, estimated volume comprised of dark

orders comprised just under 7%, of which nearly half occurs at the midpoint.

In the aggregate, the details of the many exchange order types and rules that govern the

markets are laid out across different websites and together create a tangle of detail, and in

the highly fragmented market, this overwhelming detail results in increasing complexity.

In short, the inability to determine what is happening in the marketplace results from an

increasingly complex ecosystem, including greater dark trading and fragmentation.



Exhibit 10 Case Example - SIRI

Source: UTP

Three Big Questions The on-/off-exchange debate is an issue of how the wholesale and retail markets fit

together. Buy-side traders with oversized orders to fill want sizeable fills, natural

counterparties and the ability to avoid being seen. However, the quality, fairness and

efficiency of the public markets are brought into question if they are a destination of last

resort. We do not purport to have the end solution but we anticipate regulatory focus on

price discovery, price improvement, trade size and transparency as part of the broader

market structure debate.

Does the Protected Quote Need Better Protection? Across the lit markets, lit liquidity at a single

price point trades ahead of undisplayed

liquidity, and the best displayed quote is

protected by Regulation NMS. Priority of

execution, most commonly price/time priority,

is respected within each market’s book but

different pricing models will impact the routing

of orders by brokers to lit markets.

In the SIRI example given here, 43,984 shares

traded off-exchange at the national best offer

while 730,300 shares of displayed liquidity did

not trade. A median size of 487 and average

size of 8,797 shares indicates that sizeable

trades were the exception (see Exhibit 10).

Displayed limit orders keep explicit trading

costs down by creating narrower spreads and additional depth of book. They allow portfolio

managers to put a ceiling and floor on the price they pay and provide price protection and

support from the market moving against them. Displayed limit order support is particularly

important during times of extreme market stress.

When trades continually hit the tape ahead of displayed liquidity, establishing the quote on

the lit markets loses its attraction. In addition, a drain of liquidity could also affect the

benchmarks. For example, if market-on-close/open orders do not participate in the

closing/opening process but can be printed off-exchange to avoid exchange fees, etc., this

must ultimately affect both the closing imbalance and validity of the closing price.

Should Criteria Around Off-Exchange Trading be Established? Unless the trends change and the level of dark volume starts to decline, US regulators will

be under pressure to reconsider establishing restrictions for off-exchange trading,

specifically price or size restrictions. If a minimum price increment for small size or a

minimum trade size were imposed on the SIRI example given earlier, many of the trades

would not have occurred off-exchange, but that does not mean by default that such trades

would migrate to the lit markets.



For many of the securities that trade heavily off-exchange, the trades are printed at a

penny increment (see Exhibit 11). Given a consistency of on-exchange spreads at a penny,

it is reasonable to assume that these trades are not offering a whole penny price

improvement, but rather matching the NBBO. In September, 75% of the ADV reported to

the TRF was printed at or within $0.001 of the NBBO. We take the measure of $0.001 since

it is the minimum price improvement increment for the NYSE retail liquidity program.

On-exchange, 97% of exchange volume was traded at or near the NBBO and this comprises

displayed orders, undisplayed liquidity associated with displayed orders (reserve orders),

and dark orders (see Exhibit 12). The breakdown of displayed and undisplayed volume is

not transparent but for the month of September, dark orders across all the exchanges

accounted for approximately 6.9% of the total volume of which nearly half – or 3% - was

executed at the mid-point.

To be meaningful, price improvement needs to be viewed in conjunction with the implicit

costs of trading and the impact on the lit market, for example an order moving an entire

price level or hitting an air pocket of liquidity.

Price improvement and trade size are related. Block crossing networks boast larger average

trade sizes (e.g., Liquidnet’s average trade size exceeds 39,000 shares), but the average

trade size across continuous pools is under 300 shares, which is similar to the average trade

size in the lit markets, reducing the difference in trading behavior between exchanges and

off-exchange dark venues (see Exhibit 13).

Exhibits 11 and 12

Percentage of TRF Prints at/near the Quote / Percentage of Prints at/near the Quote

for Select Securities, Sept 2012 On/Off Exchange, Sept 2012

Source: CTA, UTP



Exhibit 13

Average Trade Size Across Select Exchanges and Dark Pools, Aug 2012

Source: Industry, BATS Trading

Exhibit 14

Buy-Side Expectations Around Transparency into

Dark Environments

Source: TABB Group

A Question of Transparency and Fairness Anti-gaming functions and relationships protect buy-side clients from adverse behavior, yet

there is commonly little transparency into order placement logic, linkages, wait-times,

routing priorities and how best execution is measured at a particular point in time.

Buy-side traders tell us that most brokers have

made headway in terms of operational

transparency, such as routing methodologies

and details of linkages with other pools (see

Exhibit 14). They rely on dial controls and

their broker relationships to avoid information

leakage and overexposure in the dark.

The majority do not have the resources to

actively monitor dark activity or scrutinize

every trade when trading using broker

algorithms, and rely on broker best-ex

obligations, their own trading experience and

transaction cost analysis reports. The quality of

execution data is, however, skewed by the fact

that the earliest and easiest executions occur

off-exchange, the least visible part of the

market. By the time executions occur on the lit market, information has leaked8.

8 The Weaver study expands on the relationship between transparent quote competition and benchmark spreads.

Op cit.



The proprietary nature of dark platforms requires a level of protection to safeguard

innovation and competitive edge. Yet internalization raises questions of fairness, if trading

interest can be observed without commitment to trade, and indications of interest create an

exclusive network of activity. The question of fairness is also at the heart of the ill-fated

‘flash orders’ implemented by some exchanges.

In conversations with buy-side traders, they express concern over the level of off-exchange

trading (see Exhibit 15), although opinions on solutions are mixed. In addition, our market

surveys show market structure confidence continuing to decline (see Exhibit 16).

Put together, this is not a dark-versus-lit question, but a question of how different and

similar activities and execution alternatives should be regulated and fit together.

Exhibits 15 and 16

Buy-side Views on Whether the Level of / Market Structure Confidence, 2010-12

Off-Exchange Trading Needs to be Addressed

Source: TABB Group



Action is Inevitable

Given current trends, action seems inevitable. However the longer the SEC waits, the more

disruptive will be any adjustment to the market, and we echo the worry of market

participants about the unintended consequences of significant regulation9. The SEC’s

Concept Release of January 2010 contained a series of sound questions about the market

structure that we believe will be revisited. It asked important questions around whether a

trade-at rule would benefit the market and whether the trading volume threshold in

Regulation ATS that triggers the fair access requirement should be lowered from the current

5%.

The SEC has put out three ATS proposals around treating indications of interest as quotes,

display thresholds and post-trade transparency for ATSs, with no consequence. The CFTC-

SEC Joint Advisory Committee recommended a Trade-At Rule in the wake of the May 6,

2010 Flash Crash10. While all these subjects provoke both criticism and support, the whole

debate has died on the vine. However, the JOBS Act of 2012 indirectly forces open one door

to change, as the SEC is set to review tick sizes of smaller companies and will need to

consider any change market-wide.

Elsewhere, regulators are acting. Canadian regulators have imposed a new framework

including priority of lit over dark flow and a minimum price improvement requirement for

dark orders. In Europe, expected legislation under MiFID II will reshape the landscape,

although we worry about the radical extent of the collective changes.

We believe the statistics presented here support the need to understand better the makeup

of off-exchange trading in relation to on-exchange trading. The off-exchange trading debate

will likely be resurrected with a focus on its impact on the public market, how regulatory

structures should differ across services, and on levels of transparency. The studies cited in

this research point collectively to problems. The Weaver study11 concludes, for example,

that 40% TRF activity in NYSE stocks would result in wider quoted and effective spreads,

which collectively amount to $3.9 million per year per stock to investors, and points to an

increase in price impact, realized spreads and volatility.

But scrutiny of dark execution off-exchange must equally scrutinize dark execution on-

exchange, where the complexity of order types and high-frequency trading create a very

difficult trading environment. Trading outside the lit order books offers legitimate value and

advantages, but the industry lacks consensus about its cause and effect. Any focus on dark

trading needs to be grounded in data and measured against benchmarks of fairness and

efficiency in the market to avoid being subject to speculation, polarized opinion and needle-

moving regulation. To be effective, the dark debate must be part of the broader market

structure debate that includes the quality and efficiency of the lit markets.

9 Larry Tabb’s Testimony to the Senate Banking Committee, September 27, 2012. 10 Preliminary Findings Regarding the Market Events of May 6, 2010. 11 Weaver, Op.Cit.



About

TABB Group

TABB Group is a financial markets research and strategic advisory firm focused exclusively

on capital markets. Founded in 2003 and based on the methodology of first-person

knowledge, TABB Group analyzes and quantifies the investing value chain from the

fiduciary, investment manager, broker, exchange, and custodian. Our goal is to help senior

business leaders gain a truer understanding of financial markets issues and trends so they

can grow their business. TABB Group members are regularly cited in the press and speak at

industry conferences. For more information about TABB Group, go to www.tabbgroup.com.

The Author

Miranda Mizen

Miranda joined TABB Group in March 2008, bringing more than 20 years’ experience in the

equity trading, product management, and product strategy arenas. Her experience includes

serving as Senior Vice President of Transaction Services at the American Stock Exchange,

where she headed the group responsible for the functional development of the Exchange’s

hybrid trading platform for equities and Exchange-Traded Funds; as a Senior Analyst at

TowerGroup, where she authored reports focusing on technologies used by institutional

brokers; and time at Instinet, which she joined in the United Kingdom in 1997 as a product

manager responsible for designing and implementing an order management system for

cross-border business. She moved to New York in 1999 to work on front-end trading

applications. From 1987 to 1997, Miranda held several positions at S.G. Warburg (later

incorporated into SBC Warburg and ultimately UBS), including head of French equity

trading. Miranda holds a Bachelor of Science degree from University College, Cardiff,

Wales.




www.tabbgroup.com

Westborough, MA

+ 1.508.836.2031

New York

+ 1.646.722.7800

London

+ 44 (0) 203 207 9397


Documents

A Spotlight in the Dark