Execution Quality in the US Equities Markets

May 25, 2005


Boston, MA, USA May 25, 2005

Execution Quality in the US Equities Markets

In an extensive study, Celent examines the quality of trade execution in the NYSE and Nasdaq National Market. Analyzing 3 months of data covering 220 billion shares traded, the report comes to some surprising conclusions.

The report compares execution speed, prices at which orders were completed, as well as fill rates. Across over 240 market participants, Celent has analyzed trade data for over 7,200 equities based on over 100 million data points.

The leading execution venues for NYSE issues and for the Nasdaq National Market were ranked according to their execution based on numerous criteria. The top three execution venues for each market are shown below.

The Three Best Execution Venues

Rank NYSE Nasdaq
1 Citigroup Capital Markets Automated Trading Desk
2 NFS (Fidelity) NFS (Fidelity)
3 Trimark E*Trade

According to Octavio Marenzi, author of the study "one of the most surprising findings was the poor performance of a number of ECNs in the Nasdaq market. In particular, we found that most ECNs had execution speeds far slower than leading market makers. In the light of the SEC's decision to introduce Reg NMS this is a particularly important finding. Indeed, we found that in many cases ECNs  actually provided slower average execution speeds than specialists on the NYSE floor". The report found very large difference between market centers, even for the same types of orders and same equities. The survey considered market centers' speed, frequency and size of price improvement, as well as fill rates. :

NYSE Nasdaq
ArcaEx ArcaEx
Citigroup Attain
E*Trade Bear Stearns
Fleet Meehan Brut
Inet Citigroup
La Branche E*Trade
Madoff Goldman Sachs
National Stock Exchange Inet
Performance Specialist Group Knight
Pershing Madoff
Rock Island Merrill Lynch
Spear, Leeds & Kellogg Morgan Stanley
Susquehanna NFS
Trimark Pershing
UBS Scottrade
Van der Moolen SuperMontage
Wagner Stott Bear TD Waterhouse
US Bancorp

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


Boston, MA, USA May 25, 2005

Return to report Abstract

Executive Summary 3
Introduction 4
Execution Quality 5
  Background 5
  Data Used in Report 5
  Caveats about Data 6
Measuring Execution Quality 8
  Fill Rate 8
  Speed 8
  Execution Price 8
  Spread 9
Overview of Market Data 10
  Summary Statistics 10
  Market Share by Execution Venue 12
NYSE Issues 14
  Speed 14
  Fill Rates 19
  Price Improvement 22
  Comparisons 28
  Ranking Execution Venues 29
Nasdaq National Market 30
  Speed 31
  Fill Rates 38
  Price Improvement 40
  Comparisons 43
  Ranking Execution Venues 45
Conclusions 47
Appendix 48
  Spread Definition 48
  List of Leading Market Centers 49



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