Execution Quality in the NYSE Market

by Anshuman Jaswal, PhD, December 2, 2015
Operations/ Benchmarking
North America

Abstract

The share of electronic order books (EOBs) has declined marginally at 57%, from 58% in the last survey. The specialists/designated market-makers (DMMs) have seen their share remain at 29%, while market-makers have seen a marginal increase to 13% from 12%.

In a new report, Execution Quality in the NYSE Market, Celent analyzes over 37 billion orders over the period of July 1, 2015 to September 30, 2015. In total, the report measures and ranks 90 market participants according to their execution speed and prices obtained for incoming orders. 

The leading EOBs in terms of price improvement are NYFX ConvergEx Millennium ATS, KCG MatchIt and Barclays ATS.  Comparing the speed of execution, the leading centers are KCG MatchIt, NYSE Arca, and Nasdaq PSX. Across the two categories of price and speed, KCG MatchIt and NYSE Arca seem to be the better performers overall among the major EOBs.

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

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

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

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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