Execution Quality in the NYSE Market

June 17, 2008


New York, NY, USA June 17, 2008

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

With Regulation NMS safely in place, execution quality in the US equities markets has experienced tremendous improvement. From 2006 to 2008, market centers’ average execution speeds for NYSE-listed equities have fallen by a stunning 92% in least active issues as electronification gains greater ground.

In a new report, , Celent analyzes over 15.9 billion orders over the period of December 1, 2007 through February 29, 2008. In total, the report by Octavio Marenzi, head of Celent, and Chermaine Lee, analyst with Celent’s Securities & Investments group, measures and ranks 176 market participants according to their execution speed and prices obtained for incoming orders.

As in Celent’s previous findings, there is no real observable tradeoff between speed and price factors in execution quality. Moreover, execution venues’ average speed quality seems to be converging, as the standard deviation in this period was 0.14 versus 0.85 in the previous report. On the contrary, price quality among the largest market centers may be diverging: the standard deviation increased by 178%.

Overall, BIDS Trading had the best prices among all market centers while Liquidnet topped the speed rankings. 

Table 1: Overall Ranking of Market Centers
Price Ranking Market Center Speed Ranking Market Center
1 BIDS Trading 1 Liquidnet
2 Liquidnet 2 PHLX
3 National Financial 3 CHX Matching
4 EBX 4 Lehman Bros.  (LATS)
5 NYFIX 5 Nasdaq MC
Source: Celent analysis

Among electronic order books, Nasdaq MC achieved the best prices and the fastest speed, displacing ArcaEx for the title of quickest major electronic order book in our study. ATD obtained the best prices for client orders, while Knight executed incoming orders at the fastest rate in the market maker category. For exchange specialists, Wagner Stott Bear edged past Van Der Moolen for the top spot in the price rankings, whereas La Branche had the highest execution speed.

Table 2: Ranking the Major Electronic Order Books (EOBs)
Price Ranking EOB Speed Ranking EOB
1 Nasdaq MC 1 Nasdaq MC
2 ArcaEx 2 ArcaEx
3 Direct Edge 3 BATS Trading
4 BATS Trading 4 Direct Edge
5 LavaFlow 5 LavaFlow
Source: Celent analysis
Table 3: Ranking the Major Market Makers
Price Ranking Market Maker Speed Ranking Market Maker
1 ATD 1 Knight
2 E*Trade 2 ATD
3 Knight 3 Citadel
4 UBS 4 E*Trade
5 Citadel 5 UBS
Source: Celent analysis
Table 4: Ranking the NYSE Specialists
Price Ranking Exchange Specialist Speed Ranking Exchange  Specialist
1 Wagner Stott Bear 1 La Branche
2 Van der Moolen 2 Spear Leeds
3 Banc of America 3 Wagner Stott Bear
4 Spear Leeds 4 Banc of America
5 La Branche 5 Van der Moolen
Source: Celent analysis

The 42-page report contains 24 figures and nine tables. A table of contents is available online. 

Members of Celent's 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 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

New York, NY, USA June 17,  2008

Executive Summary 3
Background 4
  Methodology 4
  Data Used in Report 4
  Caveats About Data 6
Measuring Execution Quality 8
  Speed 8
  Price 8
Overview of Market Data 11
  Summary Statistics 17
  Speed 27
  Price 35
Ranking by Type of Market Center 35
  Major Electronic Order Book Systems 35
  Major Market Makers 35
  Exchange Specialists 36
Comparison and Ranking 38


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