Execution Quality in the Nasdaq Market

by Anshuman Jaswal, PhD, September 9, 2009
Operations/ Benchmarking
North America


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

In a new report, Execution Quality in the Nasdaq Market, Celent examines the execution quality achieved by market centers for Nasdaq-listed securities for the period of April 1, 2009 to Jone 30, 2009. A total of 158 market participants covering more than 17.4 billion orders for over 6.7 trillion shares were measured and ranked by Anshuman Jaswal, analyst with Celent's Securities & Investments group according to the execution speed and prices.

Electronic order books (EOBs) dominate the NASDAQ market for the covered shares and Nasdaq MC, BATS Exchange and Direct Edge have 72% of the market between them. By comparison, the leading market-makers have a combined 18% market-share.  However, the market makers have improved their performance from before and their market-share has risen by 3.5% as a category. As the figure below shows, Nasdaq MC was the best performer among all the market centers when assessed on both price and speed, followed by NYSE Arca, Direct Edge EDGA, and BATS Exchange. Among the market makers, UBS, ATD, and Knight Equity were the best performing.

Table 1 shows the rankings for the major electronic order books. Nasdaq MC has been the leading performer across the two categories and is followed by BATS Exchange. The dual trading venues of Direct Edge have both performed well and are also in the top five.

Table 1: Ranking the Major Electronic Order Books (EOBs)

EOB Speed
1 Nasdaq MC 1 BATS Exchange
2 NYSE Arca 2 Nasdaq MC
3 Direct Edge EDGA 3 Direct Edge EDGA
4 BATS Exchange 4 NYSE Arca
5 Direct Edge EDGX 5 Direct Edge EDGX

Among the market makers, UBS Securities has been the best performer in terms of price improvement, followed by E*Trade Capital and ATD. In the speed rankings, ATD, Knight Equity, and Citadel are the leading performers. Hence, across the two parameters, ATD seems to be the best performer this category of market participants.

Table 2: Ranking the Major Market Makers

Market Maker Speed
Market Maker
1 UBS Securities 1 ATD
2 E*Trade Capital 2 Knight Equity
3 ATD 3 Citadel Derivatives
4 Citadel Derivatives 4 UBS Securities
5 Knight Equity 5 E*Trade Capital

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

Executive Summary


Caveat in Data


Measuring Execution Quality

Overview of Market Data



Ranking by Type of Market Center

Comparison and Ranking

Leveraging Celent’s Expertise

Related Celent Research

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