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Execution Quality in the Nasdaq Market

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21 February 2007

Abstract

Boston, MA, USA February 21, 2007

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

In a study that analyzes data for over 3 billion orders and over 200 billion shares, Celent compares and ranks the leading market centers. In terms of prices achieved for incoming orders, Nasdaq Q (Inet) was the ECN that provided the best prices, while BATS was the fastest of any execution venue. ranked first among NYSE specialists, while E*Trade ranked highest among major market makers.

Price Rank Major ECN Speed Rank Major ECN
1 Nasdaq Q 1 BATS
2 Inet 2 Nasdaq MC
3 Brut 3 Brut
Source: Celent analysis

According to Octavio Marenzi, author of the study, "among major market makers Citadel Derivatives Group stood out as being both fastest and offering the best prices."

Price Rank Major Market Maker Speed Rank Major Market Maker
1 Citadel Derivatives Group 1 Citadel Derivatives Group
2 E*Trade 2 UBS
3 Automated Trading Desk 3 Knight
Source: Celent analysis

Figure 1: Volume, Speed, and Price for Leading Market Centers

A table of contents is available online. The 34-page report contains 21 charts and seven tables.

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.
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