Execution Quality in the NYSE Market

by Anshuman Jaswal, PhD, September 8, 2009
Operations/ Benchmarking
North America


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

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

Electronic order books (EOBs), along with a couple of the market makers, are the leading performers when both speed and price are taken into account, and this is illustrated in the graph below. Nasdaq MC, BATS Exchange, Direct Edge (both EDGA and EDGX) and NYSE Arca are the best performing market participants, followed by ATD and UBS Securities. 

Exchange specialists / designated market makers have the fastest execution across order sizes, with the exception of the small orders where the EOBs were faster. Market makers are the leading participants in terms of the percentage of orders for which there is price improvement. Their performance is far ahead of that of the EOBs and especially the Specialists/DMMs.

The overall ranking for electronic order books in NYSE is shown in Table 1 below. NASDAQ has retained its place as the EOB with the best prices and is followed by NYSE Arca. Direct Edge EDGA and BATS Exchange come in at third and fourth respectively. In the speed ranking for EOBs, BATS Exchange is the fastest EOB on recent evidence. Nasdaq MC remains in second, while Direct Edge EDGA climbs directly to third. NYSE Arca is fourth, with Direct Edge EDGX at fifth.

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 EGA
4 BATS Exchange 4 NYSE Arca
5 Direct Edge EDGX 5 Direct Edge EDGX

Among the major market makers, E*Trade Capital comes in at the top of the price rankings. UBS Securities is second while ATD is third. In the speed rankings, ATD comes out the fastest, followed by Knight Capital. UBS Securities is third with E*Trade Capital continuing to perform well at fourth.

Table 2: Ranking the Major Market Makers

1 E*Trade Capital 1 ATD
2 UBS Securities 2 Knight Capital
3 ATD 3 UBS Securities
4 Citadel 4 E*Trade Capital
5 Knight Capital 5 Citadel

KSG was the leading specialist/DMM in the price rankings, followed by LaBranche. In the speed rankings, Banc of America Specialists was at the top of the rankings and edged Spear, Leeds & Kellogg and LaBranche into second and third positions respectively. (Bear-Wagner, now Barclays Capital, did not have sufficient data. Van Der Moolen, which became a part of Lehman, has been renamed as Barclays Capital in the report.)

Table 3: Ranking the NYSE Specialists/DMMs

DMM Speed
1 KSG 1 Banc of America
2 LaBranche 2 Spear, Leeds &
3 Spear, Leeds &
3 LaBranche
4 Barclays Capital 4 KSG
5 Banc of America
5 Barclays 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

Sign in to download reports and access personalized information