Execution Quality in the NYSE Market

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10 April 2015


The share of electronic order books (EOBs) has remained relatively stable since the last survey at 58%. The specialists/designated market-makers (DMMs) have seen their share increase marginally to 29% from 28% earlier, while market-makers have maintained their share at 12%.

In the new report Execution Quality in the NYSE Market, Celent analyzes more than 23 billion orders over the period of December 1, 2014 to February 28, 2015. In total, the report measures and ranks 105 market participants according to their execution speed and prices obtained for incoming orders.

The leading EOBs in terms of price improvement are NYSE Arca, Nasdaq BX, and Nasdaq MC. Comparing the speed of execution, the leading centers are BATS Y-Exchange, NYSE Arca, and Nasdaq MC. Overall across the two categories of price and speed, NYSE Arca and Nasdaq MC seem to be the better performers among the major EOBs.

Comparing this with the market-makers, Two Sigma Securities, G1 Execution Services, and Citadel Derivatives are the leading firms. For the average speed of execution, Two Sigma Securities, Citadel Derivatives, and UBS Securities are the top performers.

In the exchange specialists/DMMs category, IMC Chicago, KCG, and Barclays Capital are the leading performers with regard to price improvement. Similarly, KCG, Barclays Capital, and IMC Chicago are the best-performing firms for the average speed of execution.

NYSE Arca, Citadel Derivatives, and Knight Capital are the market centers that are performing well with regard to both execution speed and price improvement. UBS Securities, IMC Chicago, and Nasdaq BX are some of the other leading performers.

Source: Celent analysis; raw data from firms’ SEC Rule 605 execution quality reports