Execution Quality in the NYSE Market

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20 March 2014


The share of electronic order books (EOBs) has grown since the last survey in September 2013. It is currently at 59% as compared to 56% earlier. The share of specialists/designated market-makers (DMMs) has remained at 33%, while market-makers have seen their share decline to 7% from the earlier 10%.

In a new report Execution Quality in the NYSE Market, Celent analyzes over 16 billion orders over the period of October 1, 2013 to December 31, 2013. In total, the report by Anshuman Jaswal, Senior Analyst with Celent’s Securities & Investments group, measures and ranks 140 market participants according to their execution speed and prices obtained for incoming orders.

BATS Exchange, NYSE Arca, and BATS Y-Exchange are the market centers that are performing well with regard to both execution speed and price improvement. Barclays ATS, Knight Capital (KCG), and Citadel Derivatives are some of the other leading performers.

The overall ranking for electronic order books in NYSE is shown in Table 1. The leading EOBs in terms of price improvement are Barclays ATS, NYSE Arca, and BATS Exchange. Comparing the speed of execution, the leading centers are BATS Y-Exchange, NYSE Arca, and BATS Exchange, followed by Nasdaq MC and Nasdaq BX. Overall across the two categories of price and speed, the NYSE Arca and the two BATS Exchanges seem to be the better performers among the major EOBs.

Comparing the market-makers in Table 2 for price improvement, Bank of America Merrill Lynch, Pershing, and Citadel Securities are the leading firms. For the average speed of execution, Credit Suisse, Citadel Derivatives, and E*Trade CMES are the top performers.

When it comes to the specialists/DMMs, Barclays Capital, Goldman Sachs, and Knight Capital are the leading performers with regard to price improvement, as illustrated in Table 3. Similarly, Goldman Sachs, Knight Capital, and Barclays Capital are the best-performing firms for the average speed of execution.