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Execution Quality in the NYSE Market

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1 October 2007

Abstract

Boston, MA, USA October 1, 2007

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

In a study that analyzes data for over 8 billion orders and over 300 billion shares in the Nasdaq and NYSE, Celent compares and ranks the leading market centers.

Table 1: Ranking Exchange Specialists
Price Rank Market Center Speed Rank Market Center
1 Susquehanna 1 Fleet Meehan
2 Bear Hunter 2 Spear Leeds & Kellogg
3 Van der Moolen 3 Bear Hunter
4 La Branche 4 La Branche
5 Wagner Stott Bear 5 Van der Moolen
6 Spear Leads & Kellogg 6 Wagner Stott Bear
7 Fleet Meehan 7 PSG
8 PSG 8 Susquehanna
Source: Celent analysis

Among exchange specialists, Susquehanna gained the top position in terms of price, while Fleet Meehan achieved the fastest execution times. Among major market makers for NYSE issues, Citigroup fared the best in terms of prices achieved, but was one of the slower execution venues.

Table 2: Ranking the Major Market Makers
Price Rank Major Market Maker Speed Rank Major Market Maker
1 Citigroup 1 Citadel
2 Knight 2 UBS
3 Citadel 3 Knight
4 ATD 4 ATD
5 UBS 5 E*Trade
6 E*Trade 6 Citigroup
Source: Celent analysis

In the overall ranking, NYFIX and Instinet achieved the top positions for price quality, while Pershing and Instinet were the fastest execution venues. However, it must be pointed out that direct comparisons between execution venues with very different types of order flow and very different market models are fraught with danger. "The results in this study should be used as a guide, not as a substitute for common sense," according to Octavio Marenzi, author of the study.

Table 3: Overall Ranking of 30 Largest NYSE Market Centers
Price Ranking Market Center Speed Ranking Market Center
1 NYFIX 1 Pershing
2 Instinet 2 Instinet
3 Citigroup 3 Lehman Brothers (LATS)
4 Knight 4 ArcaEx
5 Citadel Derivatives 5 Nasdaq MC
Source: Celent analysis

A table of contents is available online. The 33-page report contains 21 charts and eight tables.

Members of Celent's 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.
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