Execution Quality in the Nasdaq Market

February 21, 2007

Abstract

Boston, MA, USA February 21, 2007

An extensive study from Celent compares and ranks execution venues for Nasdaq stocks.

In a study that analyzes data for over 3 billion orders and over 200 billion shares, Celent compares and ranks the leading market centers. In terms of prices achieved for incoming orders, Nasdaq Q (Inet) was the ECN that provided the best prices, while BATS was the fastest of any execution venue. ranked first among NYSE specialists, while E*Trade ranked highest among major market makers.

Price Rank Major ECN   Speed Rank Major ECN
1 Nasdaq Q 1 BATS
2 Inet 2 Nasdaq MC
3 Brut 3 Brut
Source: Celent analysis

According to Octavio Marenzi, author of the study, "among major market makers Citadel Derivatives Group stood out as being both fastest and offering the best prices."

Price Rank Major Market Maker   Speed Rank Major Market Maker
1 Citadel Derivatives Group   1 Citadel Derivatives Group
2 E*Trade   2 UBS
3 Automated Trading Desk   3 Knight
Source: Celent analysis

Figure 1: Volume, Speed, and Price for Leading Market Centers

A table of contents is available online. The 34-page report contains 21 charts and seven tables.

Members of Celent's Institutional Securities & Investments and Retail Securities & Investments research services can download the report electronically by clicking on the icon to the left. Non-members should contact info@celent.com for more information.  

Celent is a research and advisory firm dedicated to helping financial institutions formulate comprehensive business and technology strategies. Celent publishes reports identifying trends and best practices in financial services technology and conducts consulting engagements for financial institutions looking to use technology to enhance existing business processes or launch new business strategies. With a team of internationally based analysts, Celent is uniquely positioned to offer strategic advice and market insights on a global basis. Celent is a member of the Oliver Wyman Group, which is a wholly-owned subsidiary of Marsh & McLennan Companies [NYSE: MMC].

Media Contacts

North America
Michele Pace
mpace@celent.com
Tel: +1 212 345 1366

Europe (London)
Chris Williams
cwilliams@celent.com
Tel: +44 (0)782 448 3336

Asia (Tokyo)
Yumi Nagaoka
ynagaoka@celent.com
Tel.: +81 3 3500 3023

Table of Contents

Boston, MA, USA February 21, 2007

Executive Summary 3
Background 4
  Changes in Methodology 4
  Data Used in Report 4
  Caveats About Data 5
Measuring Execution Quality 7
  Speed 7
  Price 7
Overview of Market Data 9
  Summary Statistics 9
Speed 14
Price 21
Ranking by Type of Market Center 29
  Major ECNs 29
  Major Market Makers 30
Comparison and Ranking 31
Objectivity and Methodology 33

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