Arriving at what it called ”surprising conclusions,” Celent released this month a study of the quality of trade execution venues on the New York Stock Exchange and Nasdaq National Market.
Analyzing three months of data covering 220 billion shares traded, the report compares execution speed, prices at which orders were completed, as well as fill rates. Across more than 240 market participants, Celent has analyzed trade data for over 7,200 equities based on more than 100 million data points.
Celent ranked the leading execution venues for NYSE issues and for the Nasdaq National Market according to their execution based on numerous criteria. The top three execution venues for each market are Citigroup Capital Markets Automated Trading Desk, NFS (Fidelity) and Trimark E*Trade, respectively.
Octavio Marenzi, author of the study, said one of the most surprising findings was the poor performance of a number of ECNs in the Nasdaq market.
”In particular, we found that most ECNs had execution speeds far slower than leading market makers,” Marenzi said. ”In the light of the SEC’s decision to introduce Reg NMS this is a particularly important finding. Indeed, we found that in many cases ECNs actually provided slower average execution speeds than specialists on the NYSE floor.”
The report also found very large differences between market centers, even for the same types of orders and same equities. The survey considered market centers’ speed, frequency and size of price improvement, as well as fill rates.