Celent Investigates Execution Speed And Prices In Nasdaq Market

New report from Celent, Execution Quality in the Nasdaq Market, examines the execution quality achieved by market centers for Nasdaq listed securities for the period of 1 July to 30 September,2008. A total of 179 market participants covering more than

By None

New report from Celent, Execution Quality in the Nasdaq Market, examines the execution quality achieved by market centers for Nasdaq-listed securities for the period of 1 July to 30 September,2008.

A total of 179 market participants covering more than 18.8 billion orders for over 7 trillion shares were measured and ranked by Octavio Marenzi, head of Celent, and Chermaine Lee, analyst with Celent’s Securities & Investments group according to the execution speed and prices.

Compared to the first quarter of 2008, there seems to be a greater divergence in speed quality between the major electronic order books (EOBs): BATS Trading, Direct Edge ECN, Direct Edge ADF, ArcaEx, andNasdaq MC, with a standard deviation of 1.70 versus 0.06 in the last report.

Price quality among the major EOBs, on the other hand, is still narrowly dispersed around the National Best Bid or Offer (NBBO); i.e., effective-over-quoted spread of 100%. For market makers, the standard deviation between the various effective-over-quoted spreads has widened to 46% from 15.8% in the first quarter 2008.

Under the price rankings, the top five market centers for third quarter 2008 were virtually unchanged from our last report, which covered the period December 2007 through February 2008. BIDS Trading and Liquidnet once again led in the price performance for Nasdaq issues. The leading market center for the speed tables was CHX Matching, while second place went to BATS Trading again.

In parallel with the results from the NYSE market, Nasdaq market center (Nasdaq MC) has the best price performance, and BATS Trading has the fastest speeds among their peer electronic order books. ArcaExhad the second-best prices and times for incoming orders in Nasdaq issues.

Compared to Celent’s last report covering the first quarter of 2008, UBS Securities overtakes ATD in the market maker price table and retains its quick times among the major market makers for Nasdaq issues.

L.D.

«