Execution Quality in the NYSE Market

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20 May 2011
Anshuman Jaswal

Abstract

The share of electronic order books (EOBs) has risen substantially since our 2010 report, growing from 51% to 56%. By contrast, specialists/DMMs have not been able to continue the improvement seen in the last study, and their share has declined from 34% to 31%. Market makers have 11% share.

In a new report, Execution Quality in the NYSE Market, Celent analyzes over 21 billion orders over the period of December 1, 2010 through February 28, 2011. In total, the report by Anshuman Jaswal, Senior Analyst with Celent’s Securities and Investments Group, measures and ranks 155 market participants according to their execution speed and prices obtained for incoming orders.

BATS Exchange and Nasdaq MC are the two market centers that seem to be performing well with regard to both execution speed and price improvement. For some of the other market centers, the issue is that better performance in one criterion comes at the expense of another. Hence, either they are good in price improvement, such as NYSE Arca, EDGA, and EDGX exchanges, or they are good in speed of execution, such as BATS Y-Exchange and Getco Securities.

Table 1 gives the overall rankings for the leading venues of the NYSE issues. The price rankings are led by BNY ConvergEx, LeveL ATS, and EDGA Exchange. Similarly, BATS Y-Exchange, Goldman Sachs, and NSX are the best performers when it comes to speed of execution among market centers.

Table 1: Overall Ranking of Market Centers

Price Ranking

Market Center

Speed Ranking

Market Center

1

BNY ConvergEx

1

BATS Y-Exchange

2

LeveL ATS

2

Goldman Sachs

3

EDGA Exchange

3

NSX

4

NYSE Arca

4

Morgan Stanley

5

BofA Merrill Lynch

5

Getco Securities

Source: Celent analysis

The leading EOBs in terms of price improvement are LeveL ATS, EDGA Exchange, and NYSE Arca. Similarly, for speed of execution, BATS Y-Exchange, BATS Exchange, and EDGA Exchange are the leading centers. Overall across the two categories, the EDGA and EDGX exchanges seem to be the better performers.

Table 2: Ranking the Major Electronic Order Books

Price Ranking

Major EOB

Speed Ranking

Major EOB

1

LeveL ATS

1

BATS Y-Exchange

2

EDGA Exchange

2

BATS Exchange

3

NYSE Arca

3

EDGA Exchange

4

EDGX Exchange

4

EDGX Exchange

5

BATS Exchange

5

NYSE Arca

Source: Celent analysis

Among the market makers, Citadel Derivatives, ATD, and UBS Securities have shown the best price improvement across the categories that were assessed in this study. For speed of execution, Knight Capital, Citadel Derivatives, and ATD have performed the best. Comparing for both price and speed, we find that Citadel Derivatives and ATD are the best performing market makers.

Table 3: Ranking the Major Market Makers

Price Ranking

Major Market Makers

Speed Ranking

Major Market Makers

1

Citadel Derivatives

1

Knight Capital

2

ATD

2

Citadel Derivatives

3

UBS Securities

3

ATD

4

Knight Capital

4

UBS Securities

5

E*Trade Capital

5

E*Trade Capital

Source: Celent analysis

In the exchange specialist/DMM category, Getco Securities, BofA Specialist, and Barclays Specialists are the leading performers when we compare for price improvement. Similarly, Getco Securities, Goldman Sachs Exchange & Clearing, and BofA Specialist are leading the speed stakes. When we compare across both price and speed, Getco Securities and BofA Specialist are the two leading firms.

Table 4: Ranking the NYSE Specialists/DMMs

Price Ranking

Exchange Specialist/DMM

Speed Ranking

Exchange Specialist/DMM

1

Getco Securities

1

Getco Securities

2

BofA Specialist

2

Goldman Sachs Execution & Clearing

3

Barclays Specialists

3

BofA Specialist

4

Goldman Sachs Execution & Clearing

4

Barclays Specialists

5

KSG

5

KSG

Source: Celent analysis

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Insight details

Content Type
Reports
Focus
Benchmarking
Location
North America