New York's attorney general is scrutinizing the private stock-trading venues run by Goldman Sachs Group Inc., Barclays PLC, Credit Suisse Group AG and others as part of a probe into whether high-frequency-trading firms have enjoyed unfair advantages over other investors, people familiar with the matter said.

The banks have received requests for information from New York Attorney General Eric Schneiderman's office, which is investigating whether high-speed firms made secret arrangements with exchanges and other venues that...