Execution Quality in the Nasdaq Market
Abstract
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
Market Center
BATS Trading
Goldman Sachs
Instinet
Nasdaq MC
Madoff
Source: Celent analysis
Ranking Major Electronic Order Books
Speed Rank
Major Electronic Order Book
BATS
Nasdaq MC
ArcaEx
Direct Edge
Tradebook
Source: Celent analysis
Ranking Major Market Makers
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 |