Round-the-clock US equity trading is arriving faster than the infrastructure that measures it. Exchanges and new entrants are moving into the overnight session, yet much of the trading that already occurs between 8pm and 4am ET never reaches the consolidated tape. For anyone using retail flows as a signal, that flow is largely invisible in standard market data. This literature review examines a paper that assembles the data required to see it. Additionally, we offer suggestions for datasets to track the overnight session prior to its planned inclusion in the consolidated tape in December 2026.

LITERATURE

We discuss the 2025 paper ‘Nocturnal Trading’ by Gregory Eaton, Andriy Shkilko and Ingrid Werner, available through SSRN as a working paper.

QUICK VIEW

• The paper evaluates whether retail-dominated overnight trading sessions (8pm to 4am ET) offer competitive liquidity and contribute to price discovery across the 24-hour cycle between January 2024 and May 2024.
• Widely available data from the US consolidated feed does not capture the full sessions and cannot be used for this study. As an alternative, the authors use transaction-level trade and quote data for Blue Ocean ATS (BOATS) from ICE to understand liquidity and pricing.
• Despite thin volumes and only two professional market makers in the overnight session, the authors conclude that trading costs are broadly in line with other extended-hours sessions. The overnight window contributes a meaningful share of daily price discovery, concentrated in non-US stocks and macro-ETFs rather than single US equities.