Execution Quality in the NYSE Market

The share of electronic order books (EOBs) in the NYSE market has grown from 55% to 58%, since Celent’s last execution quality report in May 2012. By comparison, specialists/DMMs have declined marginally from 33% to 32%. Market-makers’ share has declined from 11% to 9%.

In a new report, Execution Quality in the NYSE Market, Celent analyzes over 12 billion orders over the period of July 1, 2012 to September 30, 2012. In total, the report by Anshuman Jaswal, senior analyst with Celent’s Securities & Investments group, measures and ranks 155 market participants according to their execution speed and prices obtained for incoming orders.

NYSE Arca and BATS Exchange are the two market centers that seem to be performing well with regard to both execution speed and price improvement, along with BATS Y-Exchange. These were the leading firms in Celent’s last survey as well. Some of the other leading firms are Barclays Specialists and Getco Securities, along with Goldman Sachs and Nasdaq MC.

The overall ranking for electronic order books in NYSE is shown in Table 1. The leading EOBs in terms of price improvement are Nasdaq MC, EDGX Exchange, and NYSE Arca. Similarly, for speed of execution, EDGX Exchange, NYSE Arca, and BATS Exchange have performed the best. Overall across the two categories, EDGX Exchange, NYSE Arca, and BATS Exchange are the three best performers.

Table 1: Ranking the Major Electronic Order Books

Comparing the market-makers in Table 2 for price improvement, Citadel Derivatives, UBS Securities, and E*Trade Capital are the leading firms. For average speed of execution, Citadel Derivatives, UBS Securities, and E*Trade Capital are again the top performers. Hence, they are also the best performers when looking at the combined performance across price and speed categories.

Table 2: Ranking the Major Market-Makers

When it comes to the specialists/DMMs, Barclays Capital, Getco Securities, and Goldman Sachs are the best performing firms in the price improvement category. For average speed of execution, the leading firms are again Barclays Capital, Getco Securities, and Goldman Sachs.

Table 3: Ranking the NYSE Specialists/DMMs

This 38-page report contains 25 figures and nine tables.