Execution Quality in the US Equities Markets

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25 May 2005


Boston, MA, USA May 25, 2005

Execution Quality in the US Equities Markets

In an extensive study, Celent examines the quality of trade execution in the NYSE and Nasdaq National Market. Analyzing 3 months of data covering 220 billion shares traded, the report comes to some surprising conclusions.

The report compares execution speed, prices at which orders were completed, as well as fill rates. Across over 240 market participants, Celent has analyzed trade data for over 7,200 equities based on over 100 million data points.

The leading execution venues for NYSE issues and for the Nasdaq National Market were ranked according to their execution based on numerous criteria. The top three execution venues for each market are shown below.

The Three Best Execution Venues

Rank NYSE Nasdaq
1 Citigroup Capital Markets Automated Trading Desk
2 NFS (Fidelity) NFS (Fidelity)
3 Trimark E*Trade
According to Octavio Marenzi, author of the study "one of the most surprising findings was the poor performance of a number of ECNs in the Nasdaq market. In particular, we found that most ECNs had execution speeds far slower than leading market makers. In the light of the SEC's decision to introduce Reg NMS this is a particularly important finding. Indeed, we found that in many cases ECNs actually provided slower average execution speeds than specialists on the NYSE floor". The report found very large difference between market centers, even for the same types of orders and same equities. The survey considered market centers' speed, frequency and size of price improvement, as well as fill rates. :
NYSE Nasdaq
ArcaEx ArcaEx
Citigroup Attain
E*Trade Bear Stearns
Fleet Meehan Brut
Inet Citigroup
La Branche E*Trade
Madoff Goldman Sachs
National Stock Exchange Inet
Performance Specialist Group Knight
Pershing Madoff
Rock Island Merrill Lynch
Spear, Leeds & Kellogg Morgan Stanley
Susquehanna NFS
Trimark Pershing
UBS Scottrade
Van der Moolen SuperMontage
Wagner Stott Bear TD Waterhouse
US Bancorp