Execution Quality in the Nasdaq Market

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19 September 2007

Abstract

Boston, MA, USA September 19, 2007

An extensive study from Celent compares and ranks execution venues for Nasdaq stocks.

In a study that analyzes data for over 8 billion orders and over 300 billion shares in the Nasdaq and the NYSE, Celent compares and ranks the leading market centers in a new report by Octavio Marenzi, CEO of Celent.

In terms of the overall ranking, Instinet and NYFIX were found to achieve the best prices, with Nasdaq MC in third place. Lehman Brothers, previously one of the slowest execution venues, shot to first place in terms of speed.

Table 1: Overall Ranking of Market Centers
Price Rank Market Center Speed Rank Market Center
1 Instinet 1 Lehman Brothers
2 NYFIX 2 ArcaEx
3 Nasdaq MC 3 CHX Matching
4 ATD 4 Direct Edge
5 Citadel 5 Madoff

Among electronic order books, Nasdaq MC achieved the best price performance, while ArcaEx was the fastest. BATS Trading, which had dominated the speed rankings in our last study, fared considerably worse in this round of comparisons.

Table 2: Ranking Major Electronic Order Books
Price Rank Major EOB Speed Rank Major EOB
1 Nasdaq MC 1 ArcaEx
2 ArcaEx 2 Direct Edge
3 BATS 3 Nasdaq MC
4 Direct Edge 4 LavaFlow
5 Track 5 Tradebook
6 LavaFlow 6 BATS
7 Tradebook 7 Track ECN
Source: Celent analysis
Table 3: Ranking the Major Market Makers
Price Rank Major Market Maker Speed Rank Major Market Maker
1 ATD 1 Citadel
2 Citadel 2 ATD
3 Knight 3 Knight
4 E*Trade 4 UBS
5 UBS 5 E*Trade
6 Citigroup 6 Citigroup
Source: Celent analysis

A table of contents is available online. The 33-page report contains 21 charts and eight tables.

of Celent's Securities & Investments research services can download the report electronically by clicking on the icon to the left. Non-members should contact info@celent.com for more information.

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