Informational linkages between dark and lit trading venues

► We study the linkages between dark and lit trading venues using a proprietary dark data set. ► Pricing information relative to the NBBO midpoint allows us to sign the dark trades. ► Signed dark trades predict future returns over 15-120 minutes. ► Correlated lit trading around signed dark trades leads to higher spreads and price impact. ► Findings suggest that dark trades by algos are part of larger, informed orders split across venues.