Execution Quality in the NYSE Market

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3 November 2011
Anshuman Jaswal

Abstract

The share of electronic order books (EOBs) in the NYSE market has declined, from 56% to 53%, since Celent’s last execution quality report. By comparison, the specialists/DMMs have seen their share has grown from 31% to 34%. Market makers continue to have 12% share.

In a new report, Execution Quality in the NYSE Market, Celent analyzes over 28 billion orders over the period of June 1, 2011 to August 31, 2011. In total, the report by Anshuman Jaswal, senior analyst with Celent’s Securities & Investments group, measures and ranks 155 market participants according to their execution speed and prices obtained for incoming orders.

BATS Exchange and NYSE Arca are the two market centers that performed well with regard to both execution speed and price improvement. Nasdaq MC also scored well on the price and speed parameters, along with BATS Y-Exchange. Besides these, there were a number of market centers with similar performances including EDGA and EDGA Exchanges, UBS Securities, Citadel Securities, and Knight Capital.

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

Table 2: Ranking the Major Electronic Order Books

Price Ranking

Major EOB

Speed Ranking

Major EOB

1

BATS Exchange

1

BATS Y-Exchange

2

NYSE Arca

2

BATS Exchange

3

EDGX Exchange

3

NYSE Arca

4

BATS Y-Exchange

4

EDGA Exchange

5

EDGA Exchange

5

EDGX Exchange

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

Table 3: Ranking the Major Market Makers

Price Ranking

Major Market Makers

Speed Ranking

Major Market Makers

1

UBS Securities

1

UBS Securities

2

Citadel Securities

2

Citadel Securities

3

ATD

3

ATD

4

E*Trade Capital

4

E*Trade Capital

5

Knight Capital

5

Knight Capital

In the exchange specialist/DMM category, BofA Specialist, Goldman Sachs Execution & Clearing, and Barclays Specialists are the leading performers when we compare for price improvement. Similarly, BofA Specialist, Goldman Sachs Execution & Clearing and Barclays Specialists are also the leading specialists in the speed rankings. When we compare across both price and speed, BofA Specialist and Goldman Sachs Execution & Clearing are the two leading firms.

Table 4: Ranking the NYSE Specialists/DMMs

Price Ranking

Exchange Specialist/DMM

Speed Ranking

Exchange Specialist/DMM

1

BofA Specialist

1

BofA Specialist

2

Goldman Sachs Execution & Clearing

2

Goldman Sachs Execution & Clearing

3

Barclays Specialists

3

Barclays Specialists

4

Getco Securities

4

Getco Securities

5

KSG

5

KSG

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Insight details

Content Type
Reports
Focus
Benchmarking
Location
North America