Execution Quality in the Nasdaq Market

June 28, 2007

Abstract

New York, NY, USA June 28, 2007

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

In a study that analyzes data for over 5 billion orders and over 240 billion shares, Celent compares and ranks the leading market centers. According to the report, , in terms of the overall ranking, Liquidnet achieved the best prices, followed by Instinet and then Nasdaq MC, which was not far behind. BATS Trading was found to be the fastest execution venue.

Among major market makers, Knight took the top position for both price and speed. Knight displaced Citadel, which held these positions during Celent's last study.

In the overall ranking for major electronic order books, Nasdaq MC was first for price, and BATS Trading was found to be the fastest execution venue. Nasdaq MC fared much better in this report and things are considerably faster when compared to Celent's 2006 study. It appears that the teething pain associated with integrating Nasdaq's three separate platforms has been overcome, says Octavio Marenzi, CEO of Celent and author of the report.

Overall Ranking of Market Centers

Price Rank Market Center   Speed Rank

Market Center

1 Liquidnet   1

BATS Trading

2 Instinet   2

Goldman Sachs

3 Nasdaq MC   3

Instinet

4 Knight   4

Nasdaq MC

5 Citadel Derivatives   4

Madoff

Source: Celent analysis

Ranking Major Electronic Order Books

Price Rank Major Electronic Order Book  

Speed Rank

Major Electronic Order Book

1 Nasdaq MC   1

BATS

2 ArcaEx   2

Nasdaq MC

3 BATS   3

ArcaEx

4 Track ECN   4

Direct Edge

5 Direct Edge   5

Tradebook

6 Tradebook   6 Track ECN

Source: Celent analysis

Ranking Major Market Makers

A table of contents is available online. The 32-page report contains 21 charts and eight tables.

This report is the latest Celent report in a series of studies analyzing market centers' execution quality. Prior to this report, the most recent studies in the series were published in February 2007:

  • Execution Quality in the NYSE Market

Members of Celent's Institutional Securities & Investments and Retail 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.  

Price Rank Major  Market Maker   Speed Rank

Major  Market Maker

1 Knight   1

Knight

2 Citadel   2

ATD

3 ATD   3

Citadel

4 UBS   4

E*Trade

5 E*Trade   5

UBS

6 Citigroup   6 Citigroup

Source: Celent analysis

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

New York, NY, USA June 28, 2007

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

In a study that analyzes data for over 5 billion orders and over 240 billion shares, Celent compares and ranks the leading market centers. According to the report, , in terms of the overall ranking, Liquidnet achieved the best prices, followed by Instinet and then Nasdaq MC, which was not far behind. BATS Trading was found to be the fastest execution venue.

Among major market makers, Knight took the top position for both price and speed. Knight displaced Citadel, which held these positions during Celent's last study.

In the overall ranking for major electronic order books, Nasdaq MC was first for price, and BATS Trading was found to be the fastest execution venue. Nasdaq MC fared much better in this report and things are considerably faster when compared to Celent's 2006 study. It appears that the teething pain associated with integrating Nasdaq's three separate platforms has been overcome, says Octavio Marenzi, CEO of Celent and author of the report.

Overall Ranking of Market Centers

Price Rank Market Center   Speed Rank

Market Center

1 Liquidnet   1

BATS Trading

2 Instinet   2

Goldman Sachs

3 Nasdaq MC   3

Instinet

4 Knight   4

Nasdaq MC

5 Citadel Derivatives   4

Madoff

Source: Celent analysis

Ranking Major Electronic Order Books

Price Rank Major Electronic Order Book  

Speed Rank

Major Electronic Order Book

1 Nasdaq MC   1

BATS

2 ArcaEx   2

Nasdaq MC

3 BATS   3

ArcaEx

4 Track ECN   4

Direct Edge

5 Direct Edge   5

Tradebook

6 Tradebook   6 Track ECN

Source: Celent analysis

Ranking Major Market Makers

A table of contents is available online. The 32-page report contains 21 charts and eight tables.

This report is the latest Celent report in a series of studies analyzing market centers' execution quality. Prior to this report, the most recent studies in the series were published in February 2007:

  • Execution Quality in the NYSE Market

Members of Celent's Institutional Securities & Investments and Retail 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.  

Price Rank Major  Market Maker   Speed Rank

Major  Market Maker

1 Knight   1

Knight

2 Citadel   2

ATD

3 ATD   3

Citadel

4 UBS   4

E*Trade

5 E*Trade   5

UBS

6 Citigroup   6 Citigroup

Source: Celent analysis

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