Execution Quality in the Nasdaq Market

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9 September 2009


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

In a new report, Execution Quality in the Nasdaq Market, Celent examines the execution quality achieved by market centers for Nasdaq-listed securities for the period of April 1, 2009 to Jone 30, 2009. A total of 158 market participants covering more than 17.4 billion orders for over 6.7 trillion shares were measured and ranked by Anshuman Jaswal, analyst with Celent's Securities & Investments group according to the execution speed and prices.

Electronic order books (EOBs) dominate the NASDAQ market for the covered shares and Nasdaq MC, BATS Exchange and Direct Edge have 72% of the market between them. By comparison, the leading market-makers have a combined 18% market-share. However, the market makers have improved their performance from before and their market-share has risen by 3.5% as a category. As the figure below shows, Nasdaq MC was the best performer among all the market centers when assessed on both price and speed, followed by NYSE Arca, Direct Edge EDGA, and BATS Exchange. Among the market makers, UBS, ATD, and Knight Equity were the best performing.

Table 1 shows the rankings for the major electronic order books. Nasdaq MC has been the leading performer across the two categories and is followed by BATS Exchange. The dual trading venues of Direct Edge have both performed well and are also in the top five.

Table 1: Ranking the Major Electronic Order Books (EOBs)



1 Nasdaq MC 1 BATS Exchange
2 NYSE Arca 2 Nasdaq MC
3 Direct Edge EDGA 3 Direct Edge EDGA
4 BATS Exchange 4 NYSE Arca
5 Direct Edge EDGX 5 Direct Edge EDGX

Among the market makers, UBS Securities has been the best performer in terms of price improvement, followed by E*Trade Capital and ATD. In the speed rankings, ATD, Knight Equity, and Citadel are the leading performers. Hence, across the two parameters, ATD seems to be the best performer this category of market participants.

Table 2: Ranking the Major Market Makers


Market Maker

Market Maker
1 UBS Securities 1 ATD
2 E*Trade Capital 2 Knight Equity
3 ATD 3 Citadel Derivatives
4 Citadel Derivatives 4 UBS Securities
5 Knight Equity 5 E*Trade Capital