Execution Quality in the Nasdaq Market

October 5, 2006


Boston, MA, USA October 5, 2006

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

In a study that analyzes data for almost 2 billion orders and almost 200 billion shares, Celent compares and ranks the leading market centers. In terms of prices achieved for incoming orders, Instinet was ranked first, while Goldman Sachs offered the fastest execution times. In terms of overall performance, taking into account both execution speed and prices, E*TRADE ranked top.

Price Ranking Speed Ranking Overall
1 Instinet 1 Goldman Sachs 1 E*Trade
2 E*Trade 2 ArcaEx 2= Inet
3 Bear Stearns 3 Nasdaq MC 2= Instinet
4 ATD 4 Inet 4 Brut
5 UBS Securities 5 Direct Edge ECN 5 National Financial
Source: Celent

In general, electronic communication networks (ECNs) offered the fastest execution times, but market makers offered significantly more price improvement. However, for larger orders, ECNs were actually able to outperform market makers for price as well.

According to Octavio Marenzi, author of the study, "We have conducted this study a number of times over the course of the past two years, and it is surprising how consistently certain execution venues are able to outperform others. The top five slots are typically occupied by more or less the same handful of firms."

Note: Size of circle corresponds to number of shares executed

A table of contents is available online. The 37-page report contains 22 charts and six tables.


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 operating unit of Marsh & McLennan Companies [NYSE: MMC].

Media Contacts

North America
Michele Pace
Tel: +1 212 345 1366

Europe (London)
Chris Williams
Tel: +44 (0)782 448 3336

Asia (Tokyo)
Yumi Nagaoka
Tel.: +81 3 3500 3023

Table of Contents

Boston, MA, USA October 5, 2006

Executive Summary 3
Introduction 4
Background 5
  Data Used in Report 5
  Caveats About Data 6
Measuring Execution Quality 8
  Speed 8
  Price 8
Overview Of Market Data 11
  Summary Statistics 11
Speed 15
Price 21
  Frequency of Price Improvement 21
  Net Price Improvement per Share 25
  Net Price Improvement as a Percentage of Share Price 29
Comparison and Ranking 32
Conclusion 35
Objectivity & Methodology 36

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