http://www.healthymarkets.org/ats-audit-and-transparency/ ATS Transparency Index™: ATS Transparency Index™ and Category Disclosures Please contact us to register to receive a copy of our complete ATS Transparency report. Our Methodology The ATS Transparency Index™ is limited to only significant-volume ATSs. We have separated scoring into two broad categories: Publicly Available Data and Questionnaire Responses. We have also given firms credit for publicly available information, regardless of whether they responded to our questionnaire or not. The categories and individual questions were formulated based on discrete issues that are critical to analyzing equity market structure, execution quality, and order routing decisions. ATSs were scored on the following categories: Publicly Available Data Form ATS Statistics on trading activity and execution quality Raw FINRA 4552 data Order type guide Fee disclosures Questionnaire Responses Technology Order Type and Matching Behavior Conflicts of Interest: General Conflicts of Interest: Broker-Owned Dark Pools Block Trading Statistics Other Trading Statistics Because different buy-side firms and brokers may take different views on the value of specific areas, each category is equally weighted. If an ATS publishes the piece of Publicly Available Data, they receive 1 point. For the Questionnaire Responses, an ATS receives between 0 and 1 point based on the percentage of questions that they answered adequately. For example, if they answer 5 of 10 questions in the Technology section (or if we are able to find responses to those questions from publicly available information) they receive 0.5 points. This technique is similar to the Linaburg Maduell Transparency Index, the Open Budget Index, the JLL Global Real Estate Transparency Index and many other measures of transparency in different industries. Some of these indices apply subjective, rather than equal weighting, and that is a modification we may consider in the future. The raw scores are then normalized to come up with a Composite score. Scores above 0 indicate that an ATS is transparent relative to its peers. Scores below 0 indicate that an ATS is not disclosing enough about its operations to allow traders to make informed routing decisions.
The data was aggregated prior to Q2 2015. Citadel announced the closing of 'Apogee' on March 27, 2015. The firm informed the SEC of the closing on April 2, 2015. Citadel still operates 'Connect,' described as a venue in which Citadel "makes active retail orders it has bought from retail brokerages available to institutional investors and other firms." 'Connect' is not registered as an ATS, so it does not show up on the ATS Transparency Index. In related news, the "Healthy Markets Association" is set to release a new dark pools report tomorrow at a press conference in DC. http://www.prnewswire.com/news-rele...pools-with-senator-mark-warner-300140181.html "WASHINGTON, Sept. 9, 2015 /PRNewswire-USNewswire/ -- On September 15, 2015, at 9:45 a.m., the Healthy Markets Association will hold a press conference at the National Press Club in Washington, D.C. to officially launch the organization, announce its Founding Members and discuss Healthy Markets' new report, The Dark Side of the Pools: What Investors Should Learn From Regulators' Actions. Senator Mark Warner (D-VA), a capital markets expert and Ranking Member of the US Senate's Securities, Insurance, and Investment Subcommittee, will be providing remarks. WHO: Healthy Markets Association and Sen. Mark Warner (D-VA) WHEN: September 15, 2015 TIME: 9:45 am WHERE: Zenger Room National Press Club 529 14th Street, NW 13th Floor Washington, D.C. WHAT: Healthy Markets Association release of new report into "Dark Pools"