Execution Quality in the NASDAQ Market

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20 March 2014


Electronic order books (EOBs) continue to dominate the Nasdaq market for the covered shares, and their cumulative share has grown since the last survey in September 2013 from 76% to 78%, while that of market-makers has declined from 23% to 21% at the same time.

In a new report, Execution Quality in the NASDAQ 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, Barclays ATS, LavaFlow ATS, and BATS Y-Exchange are the leading venues. Some of the other leading market centers include EDGA and EDGX Exchanges, and Knight Capital. Different types of market centers, such as market-makers and EOBs, often tend to be grouped in clusters, as indicated by the color coding. But the groupings are not as close as they were in some of the earlier surveys.

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

Comparing the market-makers in Table 2 for price improvement, Goldman Sachs, Bank of America Merrill Lynch, and Interactive Brokers are the best performers for price improvement. Comparing for the average speed of execution, Barclays Capital, Interactive Brokers, and Bank of America Merrill Lynch are among the better-performing firms. Overall, Interactive Brokers and Bank of America Merrill Lynch are the leading market-makers across price and speed rankings.