Execution Quality in the Nasdaq Market

September 19, 2007

Abstract

Boston, MA, USA September 19, 2007

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

In a study that analyzes data for over 8 billion orders and over 300 billion shares in the Nasdaq and the NYSE, Celent compares and ranks the leading market centers in a new report by Octavio Marenzi, CEO of Celent.

In terms of the overall ranking, Instinet and NYFIX were found to achieve the best prices, with Nasdaq MC in third place. Lehman Brothers, previously one of the slowest execution venues, shot to first place in terms of speed.

Table 1: Overall Ranking of Market Centers
Price Rank Market Center Speed Rank Market Center
1 Instinet 1 Lehman Brothers
2 NYFIX 2 ArcaEx
3 Nasdaq MC 3 CHX Matching
4 ATD 4 Direct Edge
5 Citadel 5 Madoff

Among electronic order books, Nasdaq MC achieved the best price performance, while ArcaEx was the fastest. BATS Trading, which had dominated the speed rankings in our last study, fared considerably worse in this round of comparisons.

Table 2: Ranking Major Electronic Order Books
Price Rank Major EOB Speed Rank Major EOB
1 Nasdaq MC 1 ArcaEx
2 ArcaEx 2 Direct Edge
3 BATS 3 Nasdaq MC
4 Direct Edge 4 LavaFlow
5 Track 5 Tradebook
6 LavaFlow 6 BATS
7 Tradebook 7 Track ECN
Source: Celent analysis
Table 3: Ranking the Major Market Makers
Price Rank Major Market Maker Speed Rank Major Market Maker
1 ATD 1 Citadel
2 Citadel 2 ATD
3 Knight 3 Knight
4 E*Trade 4 UBS
5 UBS 5 E*Trade
6 Citigroup 6 Citigroup
Source: Celent analysis

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

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 subsidiary 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 September 19, 2007

Executive Summary 03
Background 04
  Methodology 04
  Data Used in Report 04
  Caveats About Data 04
Measuring Execution Quality 06
  Speed 06
  Price 06
Overview of Market Data 08
  Summary Statistics 08
Speed 13
Price 21
Ranking by Type of Market Center 29
  Major Electronic Order Book Systems 29
  Major Market Makers 29
Comparison and Ranking 31

 

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