Execution Quality in the NYSE Market

by Anshuman Jaswal, PhD, March 20, 2014
Operations/ Benchmarking

Abstract

The share of electronic order books (EOBs) has grown since the last survey in September 2013. It is currently at 59% as compared to 56% earlier. The share of specialists/designated market-makers (DMMs) has remained at 33%, while market-makers have seen their share decline to 7% from the earlier 10%.

In a new report Execution Quality in the NYSE Market, Celent analyzes over 16 billion orders over the period of October 1, 2013 to December 31, 2013. In total, the report by Anshuman Jaswal, Senior Analyst with Celent’s Securities & Investments group, measures and ranks 140 market participants according to their execution speed and prices obtained for incoming orders.

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

The overall ranking for electronic order books in NYSE is shown in Table 1. The leading EOBs in terms of price improvement are Barclays ATS, NYSE Arca, and BATS Exchange.  Comparing the speed of execution, the leading centers are BATS Y-Exchange, NYSE Arca, and BATS Exchange, followed by Nasdaq MC and Nasdaq BX. Overall across the two categories of price and speed, the NYSE Arca and the two BATS Exchanges seem to be the better performers among the major EOBs.

Comparing the market-makers in Table 2 for price improvement, Bank of America Merrill Lynch, Pershing, and Citadel Securities are the leading firms. For the average speed of execution, Credit Suisse, Citadel Derivatives, and E*Trade CMES are the top performers.

When it comes to the specialists/DMMs, Barclays Capital, Goldman Sachs, and Knight Capital are the leading performers with regard to price improvement, as illustrated in Table 3. Similarly, Goldman Sachs, Knight Capital, and Barclays Capital are the best-performing firms for the average speed of execution.

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

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Michele Pace
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Europe (London)
Chris Williams
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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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