Execution Quality in the NASDAQ Market

by Anshuman Jaswal, PhD, November 13, 2014
Operations/ Benchmarking
North America

Abstract

EOBs continue to dominate the Nasdaq market for the covered shares. But their cumulative share has declined slightly from 78% to 77% since the last survey in March 2014, while that of market-makers has grown from 21% to 22% during this period.

In a new report, Execution Quality in the NASDAQ Market, Celent analyzes over 18 billion orders over the period of June 1, 2014 to August 31, 2014. The report, authored by Anshuman Jaswal, a senior analyst with Celent’s Securities & Investments practice, measures and ranks 130 market participants according to their execution speed and prices obtained for incoming orders.

BATS Exchange, NYSE Arca, and Two Sigma Securities are the leading venues, as shown in the Figure below. Some of the other leading market centers include Citadel Derivatives, G1 Execution Services (formerly E*Trade Capital), EDGA Exchange, and BATS-Y Exchange. Different types of market centers, such as market-makers and EOBs, often tend to be grouped in clusters, as indicated by the color coding.

The overall ranking for EOBs in Nasdaq is shown in Table 1. The leading EOBs in terms of price improvement are BATS Exchange, NYSE Arca, and EDGX Exchange. Comparing the speed of execution, BATS Y-Exchange, NYSE Arca, and Nasdaq MC are the leading market centers. Similarly, overall across the two categories of price and speed, NYSE Arca, BATS Y-Exchange, and EDGX & EDGA Exchanges seem to be the better performers among the major EOBs in the current survey.

Comparing the ranking and comparison of the leading market makers in Table 2, Interactive Brokers, G1 Execution Services, and Citadel Derivatives are the best performers for price improvement. Comparing for the average speed of execution, BNY Capital Markets, Knight Securities, and G1 Execution Services are among the better performing firms. Overall, G1 Execution Services, Knight Securities, and UBS Securities are the leading market makers across price and speed rankings.

This 36-page report contains 25 figures and seven tables.

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)
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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

Comparison and Ranking

28

Leveraging Celent’s Expertise

31

 

Support for Financial Institutions

31

 

Support for Vendors

31

Related Celent Research

32

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