Originally Posted by
adam ali
The concept of dark pools and ATS is easy to understand. What is unclear to me is how all this volume is reported in an aggregate sense and what is the meaning of official exchange reported volume in relation to total consolidated volume. When you say it is only traded by professionals, how does that work?
Parsing out official exchange volume as Pascal does is one approach (and perhaps the best one). But isn't this data available to everyone?
Sounds like it may be time for me to revisit Larry Harris' book.