Execution Quality in the NYSE Listed Market

May 26, 2006

Abstract

Boston, MA, USA May 26, 2006

Execution Quality in the NYSE Market

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

In a study that analyzes data for almost 2 billion orders and almost 200 billion shares, Celent compares and ranks the leading market centers. In terms of prices achieved for incoming orders, E*Trade was ranked first, while Madoff offered the fastest execution times.

Price Ranking Speed Ranking
1 E*Trade 1 Madoff
2 NYFIX 2 National Financial Services
3 Automated Trading Desk 3 NYFIX
4 National Financial Services 4 E*Trade
5= UBS Securities 5 Trimark
  Madoff    
Source: Celent

According to Octavio Marenzi, CEO of Celent and author of the study, "Interestingly, the market centers who offered the best prices also tended to execute trades most rapidly. Unlike the Nasdaq markets, where the fastest execution venues tended to offer worse prices, there is no such tradeoff in the NYSE market."

Amongst NYSE specialists, the study found that Performance Specialist Group and Van der Moolen were the two market centers that offered the best price performance. A notable difference in execution quality was noticed among specialists, with wide differences in terms of prices obtained and speed.

A table of contents is available online. The 37-page report contains 22 charts and five 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 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 May 26, 2006

Execution Quality in the NYSE Market

Executive Summary 3
Introduction 4
Background 5
  Data Used in Report 5
  Caveats About Data 6
Measuring Execution Quality 8
  Speed 8
  Price 8
Overview Of Market Data 11
  Summary Statistics 11
Speed 15
Price 20
  Frequency of Price Improvement 20
  Net Price Improvement Per Share 24
  Net Price Improvement as a Percentage of Share Price 28
Comparison And Ranking 33
Conclusion 35
Objectivity & Methodology 36

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