Execution Quality in the NYSE Market

by Anshuman Jaswal, PhD, April 10, 2015
Operations/ Benchmarking
North America

Abstract

The share of electronic order books (EOBs) has remained relatively stable since the last survey at 58%. The specialists/designated market-makers (DMMs) have seen their share increase marginally to 29% from 28% earlier, while market-makers have maintained their share at 12%.

In the new report Execution Quality in the NYSE Market, Celent analyzes more than 23 billion orders over the period of December 1, 2014 to February 28, 2015. In total, the report measures and ranks 105 market participants according to their execution speed and prices obtained for incoming orders.

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

Comparing this with the market-makers, Two Sigma Securities, G1 Execution Services, and Citadel Derivatives are the leading firms. For the average speed of execution, Two Sigma Securities, Citadel Derivatives, and UBS Securities are the top performers.

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

NYSE Arca, Citadel Derivatives, and Knight Capital are the market centers that are performing well with regard to both execution speed and price improvement. UBS Securities, IMC Chicago, and Nasdaq BX are some of the other leading performers.

Source: Celent analysis; raw data from firms’ SEC Rule 605 execution quality reports

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
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

 

Key Research Questions

1

Background

4

 

Methodology

4

 

Data Used in Report

4

 

Key Research Questions

4

Caveat in Data

5

Measuring Execution Quality

6

 

Speed

6

 

Price

6

Overview of Market Data

8

 

Summary Statistics

8

Speed

13

Price

21

Ranking by Type of Market Center

28

 

Major Electronic Order Books

28

 

Major Market-Makers

28

 

Exchange Specialists/DMMs

29

Comparison and Ranking

30

Leveraging Celent’s Expertise

33

 

Support for Financial Institutions

33

 

Support for Vendors

33

Related Celent Research

34

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