I was sorting through some market data today and was sorting between the three largest ECN/Exchange market centers that I have access to. The top three are:

  1. Nasdaq.
  2. Nasdaq Trade Reporting Facility.
  3. NYSE

I think that the Nasdaq Trade Reporting Facility is reporting network for off-exchange transactions, from trying to decipher FINRA's TRF info along with Wikipedia's.

I see some traffic from the NYSE TRF, but not nearly enough to mention. The Wikipedia page makes it sound like the Nasdaq TRF is for OTC transactions. So my two part question would be:

  • What transactions take place, and where, that end up on Nasdaq TRF? Is it OTC, ATS (dark pools, etc)?
  • Is there any particular reason why Nasdaq's TRF data is so much greater than NYSE's?

You can infer some of the answers to your questions from the BATS exchange's market data page and its associated help page. (I'm pretty sure a page like this exists on each stock exchange's website; BATS just happens to be the one I'm used to looking at.)

The Matched Volume section refers to all trades on a given date that took place on "lit" exchanges; that is, where a public protected US stock exchange's matching engine helped a buyer and a seller find each other. Because there are exactly 11 such exchanges in existence, it's easy to show 100% of the matched volume broken down into 11 rows.

The FINRA & TRF Volume section refers to all trades on a given date that took place on "non-lit" exchanges. These types of trades include dark pool volume and any other trade that is not required to take place in public but is required to be reported (the R in TRF) to FINRA. There are three venues via which these trades may be reported to FINRA -- NASDAQ's, NYSE's, and FINRA's own ADF. They're all operated under the purview of FINRA, so the fact that they're "located at" NASDAQ or NYSE is a red herring. (For example, from the volume data it's clear that the NASDAQ facility does not only handle NASDAQ-listed (Tape C) securities, nor does the NYSE facility only handle NYSE-listed (Tape A) securities or anything like that.)

The number of institutions reporting to each of the TRFs is large -- many more than the 11 public exchanges -- so the TRF data is not broken down further. (Also I think the whole point of the TRFs is to report in secret.) I don't know enough details to say why the NASDTRF has always handled more reporting volume than the other two facilities. Of course, since we can't see inside the TRF reporting anyway, it's sort of a moot point.

  • I did some more reading on FINRA's site and your explanation is dead on to what I gathered. – Eric Dec 31 '14 at 14:22

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