Intraday Liquidity Cycles and Venue Fragmentation

We study the relationship between equity market fragmentation across trading venues and the intraday evolution of liquidity. Using a dataset spanning multiple lit and dark venues, we document systematic variation in spread, depth, and fill quality across the trading day and across venue types. The findings have implications for best-execution policy, and we discuss how smart order routing algorithms can exploit predictable intraday liquidity cycles to improve execution quality.