Execution Quality in the NASDAQ Market

by Anshuman Jaswal, PhD, December 2, 2015
Operations/ Benchmarking
North America

Abstract

Electronic order books (EOBs) continue to dominate the Nasdaq market for the covered shares. The share of the three leading EOBs (Nasdaq MC, BATS EDGX Exchange, and BATS BZX Exchange) has declined marginally to 49% (from 50% in the last survey in April 2015). Overall, the share of EOBs has grown to 80% from 79%, while that of market-makers declined to 19% from 20% during this period.

In a new report, Execution Quality in the NASDAQ Market, Celent analyzes over 37 billion orders over the period of July 1, 2015 to September 30, 2015. In total, the report measures and ranks 90 market participants according to their execution speed and prices obtained for incoming orders.  

The leading EOBs in terms of price improvement are NYSE Arca, BATS BYX Exchange, and BATS EDGX Exchange. Comparing the speed of execution, BATS EDGA Exchange, NYSE Arca, and BATS BYX Exchange are the leading market centers. Similarly, across the two categories of price and speed, NYSE Arca and BATS BYX Exchange seem to be the better performers overall among the major EOBs in the current survey.

Looking at the ranking and comparison of the leading market-makers, G1 Execution Services, Citadel Securities, and UBS Securities are the best performers for price improvement. Comparing for the average speed of execution, Citadel Securities, Knight Securities, and IEX Services are among the better performing firms. Overall, Citadel Securities and Knight Securities are the leading market-makers across price and speed rankings.

NYSE Arca, Citadel Securities, and Nasdaq PSX are the leading venues. Some of the other leading market centers include Two Sigma Securities, G1 Execution Services, and BATS EDGX 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.


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

Executive Summary

1

 

Key Research Questions

1

Background

4

 

Methodology

4

 

Data Used in Report

4

 

Key Research Questions

4

Caveat in Data

5

Measuring Execution Quality

6

 

Speed

6

 

Price

6

Overview of Market Data

8

 

Summary Statistics

8

Speed

13

Price

22

Ranking by Type of Market Center

29

 

Major Electronic Order Books

29

 

Major Market-Makers

29

Comparison and Ranking

30

Leveraging Celent’s Expertise

33

 

Support for Financial Institutions

33

 

Support for Vendors

33

Related Celent Research

34

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