Electronic order books dominate the Nasdaq market
Electronic order books (EOBs) continue to dominate the Nasdaq market for covered shares, a report by Celent has found.
Their cumulative share has grown from 76 per cent in September 2013 to 78 per cent.
That of market-makers has declined from 23 per cent to 21 per cent.
The report, Execution Quality in the Nasdaq Market, analyses over 16 billion orders over the period of 1 October 2013 to 31 December 2013. In total, the report measures and ranks 140 market participants according to their execution speed and prices obtained for incoming orders.
BATS Exchange, NYSE Arca, Barclays ATS, LavaFlow ATS, and BATS Y-Exchange are the leading venues. Some of the other leading market centres include EDGA and EDGX Exchanges, and Knight Capital. Different types of market centres, such as market-makers and EOBs, often tend to be grouped in clusters, but the groupings are not as close as they were in some of the earlier surveys.
The leading EOBs in terms of price improvement are NYSE Arca, BATS Y-Exchange and BATS Exchange.
Comparing the speed of execution, BATS Y-Exchange, NYSE Arca, and BATS Exchange are the leading market centres.
Similarly, overall across the two categories of price and speed, NYSE Arca and the two BATS Exchanges seem to be the better performers among the major EOBs in the current survey.
Goldman Sachs, Bank of America Merrill Lynch, and Interactive Brokers are the best performers for price improvement. Comparing for the average speed of execution, Barclays Capital, Interactive Brokers, and Bank of America Merrill Lynch are among the better-performing firms. Overall, Interactive Brokers and Bank of America Merrill Lynch are the leading market-makers across price and speed rankings.
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