Execution Quality in the NYSE Market

by Anshuman Jaswal, PhD, November 13, 2014
Operations/ Benchmarking
North America

Abstract

The share of electronic order books (EOBs) has remained stable since the last survey, and continues at 59%. The specialists/designated market-makers (DMMs) have seen their share decline to 28% from 33% earlier, while market-makers have seen a growth in their share to 12% from the earlier 7%.

In the new report, Execution Quality in the NYSE Market, Celent analyzes over 18 billion orders over the period of June 1, 2014 to August 31, 2014. The report, authored by Anshuman Jaswal, a senior analyst with Celent’s Securities & Investments practice, measures and ranks 130 market participants according to their execution speed and prices obtained for incoming orders.

NYSE Arca, BATS Exchange, and Citadel Derivatives are the market centers that are performing well with regard to both execution speed and price improvement. UBS Securities, Knight Capital and BATS Y-Exchange are some of the other leading performers.

The leading EOBs in terms of price improvement are BATS Y-Exchange, NYSE Arca, and BATS Exchange. Comparing the speed of execution the leading centers are NYSE Arca, BATS Exchange, and EDGX Exchange. Overall across the two categories of price and speed, NYSE Arca and BATS Exchange seem to be the better performers among the major EOBs.

Comparing the market-makers for price improvement, Knight Capital, Citadel Derivatives, and UBS Securities are the leading firms. For the average speed of execution, Citadel Derivatives, BNY Capital Markets, and G1 Execution Services are the top performers.  

In the exchange specialists/DMMs category, KCG, Barclays Capital and Goldman Sachs are the leading performers with regard to price improvement. Similarly, Barclays Capital, KCG, and Goldman Sachs are the best-performing firms for the average speed of execution.

This 38-page report contains 25 figures and nine 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 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

Executive Summary

1

Background

4

 

Methodology

4

 

Data Used in Report

4

Caveat in Data

5

Measuring Execution Quality

6

 

Speed

6

 

Price

6

Overview of Market Data

8

 

Summary Statistics

8

Speed

12

Price

20

Ranking by Type of Market Center

27

 

Major Electronic Order Books

27

 

Major Market-Makers

27

 

Exchange Specialists/DMMs

28

Comparison and Ranking

29

Leveraging Celent’s Expertise

32

 

Support for Financial Institutions

32

 

Support for Vendors

32

Related Celent Research

33

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