Execution Quality in the NYSE Market

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2 December 2015


The share of electronic order books (EOBs) has declined marginally at 57%, from 58% in the last survey. The specialists/designated market-makers (DMMs) have seen their share remain at 29%, while market-makers have seen a marginal increase to 13% from 12%.

In a new report, Execution Quality in the NYSE Market, Celent analyzes over 37 billion orders over the period of July 1, 2015 to September 30, 2015. In total, the report measures and ranks 90 market participants according to their execution speed and prices obtained for incoming orders.

The leading EOBs in terms of price improvement are NYFX ConvergEx Millennium ATS, KCG MatchIt and Barclays ATS. Comparing the speed of execution, the leading centers are KCG MatchIt, NYSE Arca, and Nasdaq PSX. Across the two categories of price and speed, KCG MatchIt and NYSE Arca seem to be the better performers overall among the major EOBs.

In comparing the market-makers for price improvement, Citadel Securities, G1 Execution Services, and BNY Capital Markets are the leading firms. For the average speed of execution, Citadel Securities, Knight Capital and UBS Securities are the top performers.

In the exchange specialists/DMMs category, IMC Chicago, Virtu Financial, and Barclays Capital are the leading performers with regard to price improvement. Similarly, Barclays Capital, KCG and IMC Chicago are the best-performing firms for the average speed of execution.

NYSE Arca, Citadel Derivatives, UBS Securities, and IMC-Chicago are the market centers that are performing well with regard to both execution speed and price improvement. BATS BYX Exchange, Nasdaq MC, and Knight Capital are some of the other leading performers.