-----BEGIN PRIVACY-ENHANCED MESSAGE-----
Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
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 TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB
MIC-Info: RSA-MD5,RSA,
 HY2IXm5qxid4Z8Svo/bR1ZplTBLi4/cuUFnpS8On0axXxp8g3E8DTH3n/K6idsC/
 IpF4VqMbg/WxCzTYRE3exQ==

<SEC-DOCUMENT>0001179110-06-001269.txt : 20060112
<SEC-HEADER>0001179110-06-001269.hdr.sgml : 20060112
<ACCEPTANCE-DATETIME>20060112120818
ACCESSION NUMBER:		0001179110-06-001269
CONFORMED SUBMISSION TYPE:	4
PUBLIC DOCUMENT COUNT:		1
CONFORMED PERIOD OF REPORT:	20060110
FILED AS OF DATE:		20060112
DATE AS OF CHANGE:		20060112

REPORTING-OWNER:	

	OWNER DATA:	
		COMPANY CONFORMED NAME:			Steck Brian J
		CENTRAL INDEX KEY:			0001304574

	FILING VALUES:
		FORM TYPE:		4
		SEC ACT:		1934 Act
		SEC FILE NUMBER:	333-78309
		FILM NUMBER:		06526453

	BUSINESS ADDRESS:	
		BUSINESS PHONE:		212-588-4000

	MAIL ADDRESS:	
		STREET 1:		C/O ITG INC.
		STREET 2:		380 MADISON AVENUE
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10017

ISSUER:		

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			INVESTMENT TECHNOLOGY GROUP INC
		CENTRAL INDEX KEY:			0000920424
		STANDARD INDUSTRIAL CLASSIFICATION:	SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211]
		IRS NUMBER:				133757717
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1231

	BUSINESS ADDRESS:	
		STREET 1:		380 MADISON AVE
		STREET 2:		4TH FLOOR
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10017
		BUSINESS PHONE:		2125884000

	MAIL ADDRESS:	
		STREET 1:		380 MADISON AVE
		STREET 2:		4TH FLOOR
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10017
</SEC-HEADER>
<DOCUMENT>
<TYPE>4
<SEQUENCE>1
<FILENAME>edgar.xml
<DESCRIPTION>FORM 4 -
<TEXT>
<XML>
<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0202</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2006-01-10</periodOfReport>

    <notSubjectToSection16>0</notSubjectToSection16>

    <issuer>
        <issuerCik>0000920424</issuerCik>
        <issuerName>INVESTMENT TECHNOLOGY GROUP INC</issuerName>
        <issuerTradingSymbol>ITG</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001304574</rptOwnerCik>
            <rptOwnerName>Steck Brian J</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O ITG INC.</rptOwnerStreet1>
            <rptOwnerStreet2>380 MADISON AVENUE, 4TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10017</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>1</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common Stock</value>
            </securityTitle>
            <transactionDate>
                <value>2006-01-10</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>A</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionAmounts>
                <transactionShares>
                    <value>403</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>37.18</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>A</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>403</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <derivativeTable></derivativeTable>

    <footnotes></footnotes>

    <ownerSignature>
        <signatureName>P. Mats Goebels, by Power of Attorney filed with Form 3 filed September 30, 2004</signatureName>
        <signatureDate>2006-01-12</signatureDate>
    </ownerSignature>
</ownershipDocument>
</XML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
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