Electronic Order Books Retain Market Share

Terry Flanagan

The share of electronic order books in NYSE-listed securities has held about steady at 58% over the past few months, according to a report by research firm Celent. The specialists/designated market makers have seen their share increase marginally to 29%, while market-makers have maintained their share at 12%.

Celent analyzed 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 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 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.

Among market makers, Two Sigma Securities, G1 Execution Services, and Citadel Derivatives are the leading firms. In 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.

Electronic order books also continue to dominate the Nasdaq market, according to the report. The share of the three leading EOBs (Nasdaq MC, EDGX Exchange, and Bats Exchange) has risen to 50% from 47% in the last survey in November 2014. Overall, the share of EOBs has grown from 77% to 79%, while that of market-makers has declined from 22% to 20% during this period.

The leading EOBs for Nasdaq stocks in terms of price improvement are NYSE Arca, Bats Exchange, and Bats Y-Exchange. Comparing the speed of execution, Bats Y-Exchange, NYSE Arca, and Nasdaq MC are the leading market centers. Similarly, overall across the two categories of price and speed, NYSE Arca and Bats Y-Exchange seem to be the better performers among the major EOBs in the current survey.

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