Investment bank Lehman Brothers’ LX proprietary crossing system hit a record volume of over 100 million shares on 1 July. Of the total, 55% were small- and mid-cap shares and 45% were large-cap stocks. The bank said more than 26% of the shares crossed benefited from price improvement compared with open market trading.
This one-day peak in LX compares favourably to the average daily volumes of some prominent US dark pools. According to figures from US broker Rosenblatt Securities, Liquidnet had an average daily volume of 76.7 million shares in Q1 this year, and ITG POSIT 55 million shares. Of brokers’ internal pools, Goldman Sachs’ SIGMA X had an average daily volume of 139.3 million shares in Q1, and Credit Suisse’s CrossFinder 95.5 million shares.
Rosenblatt reported that LX’s average daily volume for Q1 this year was 62 million shares.
Lehman Brothers said the volume crossed in LX has been consistently high in recent months, with the average daily volume increasing steadily since it launched the pool in October 2006.
“Achieving this mark is an important milestone in our electronic trading strategy,” said Frank Troise, head of US equities electronic trading products at Lehman Brothers, in a statement.