Execution Quality in the NYSE Market

October 1, 2007

Abstract

Boston, MA, USA October 1, 2007

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

In a study that analyzes data for over 8 billion orders and over 300 billion shares in the Nasdaq and NYSE, Celent compares and ranks the leading market centers.

Table 1: Ranking Exchange Specialists
Price Rank Market Center Speed Rank Market Center
1 Susquehanna 1 Fleet Meehan
2 Bear Hunter 2 Spear Leeds & Kellogg
3 Van der Moolen 3 Bear Hunter
4 La Branche 4 La Branche
5 Wagner Stott  Bear 5 Van der Moolen
6 Spear Leads  & Kellogg 6 Wagner Stott  Bear
7 Fleet Meehan 7 PSG
8 PSG 8 Susquehanna
Source: Celent analysis

Among exchange specialists, Susquehanna gained the top position in terms of price, while Fleet Meehan achieved the fastest execution times. Among major market makers for NYSE issues, Citigroup fared the best in terms of prices achieved, but was one of the slower execution venues.

Table 2: Ranking the Major Market Makers
Price Rank Major  Market Maker Speed Rank Major Market Maker
1 Citigroup 1 Citadel
2 Knight 2 UBS
3 Citadel 3 Knight
4 ATD 4 ATD
5 UBS 5 E*Trade
6 E*Trade 6 Citigroup
Source: Celent analysis

In the overall ranking, NYFIX and Instinet achieved the top positions for price quality, while Pershing and Instinet were the fastest execution venues. However, it must be pointed out that direct comparisons between execution venues with very different types of order flow and very different market models are fraught with danger. "The results in this study should be used as a guide, not as a substitute for common sense," according to Octavio Marenzi, author of the study.

Table 3: Overall Ranking of 30 Largest NYSE Market Centers
Price Ranking Market Center Speed Ranking Market Center
1 NYFIX 1 Pershing
2 Instinet 2 Instinet
3 Citigroup 3 Lehman Brothers (LATS)
4 Knight 4 ArcaEx
5 Citadel Derivatives 5 Nasdaq MC
Source: Celent analysis

A table of contents is available online. The 33-page report contains 21 charts and eight tables.

Members of Celent's Securities & Investments research services can download the report electronically by clicking on the icon to the left.  Non-members should contact info@celent.com for more information.  

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

Boston, MA, USA October 1, 2007

Executive Summary 03
Background 05
  Methodology 05
  Data Used in Report 05
  Caveats About Data 05
Measuring Execution Quality 07
  Speed 07
  Price 07
Overview of Market Data 09
  Summary Statistics 09
Speed 14
Price 21
Ranking by Type of Market Center 28
  Major Electronic Order Book Systems 28
  Major Market Makers 28
Comparison and Ranking 30

 

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