Execution Quality in the NYSE Market

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18 September 2013


The share of electronic order books (EOBs) has declined since Celent’s last survey in November 2012, reversing an earlier trend. It is currently at 56%, compared to 58% earlier. The specialists/designated market makers (DMMs) have seen a rise in their share from 32% to 33%, while market makers have seen growth to 10% from the earlier 9%.

In the report Execution Quality in the NYSE Market, Celent analyzes over 18 billion orders over the period of May 1, 2013 to July 31, 2013. 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, NYSE Arca, BATS Y-Exchange, and Goldman Sachs are the market centers that have performed well with regard to both execution speed and price improvement. The market centers are more closely bunched in terms of their performancet. UBS Securities, Citadel Derivatives, and EDGA and EDGX Exchanges 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, BATS Exchange, and BATS Y-Exchange. Comparing the speed of execution BATS Y-Exchange, BATS Exchange and NYSE Arca are the leading market centers, followed by EDGA Exchange and Citi ATD. Overall across the two categories of price and speed, the two BATS exchanges seem to be the better performers among the major EOBs.

Comparing the market-makers in Table 2 for price improvement, Citigroup Global Markets, Morgan Stanley, and Pershing are the leading firms. For the average speed of execution, Morgan Stanley, UBS Securities, and Citadel Derivatives are the top performers. Hence, Morgan Stanley, Barclays Capital, and E*Trade Capital are among the better performers when we look at the combined performance across price and speed categories.

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