execution quality in equity markets
While doing some research on the quality and volume of executions at the open and close of US equity markets, I came across two topical research reports by Celent, a finance consultancy. The first report is a detailed look at execution quality on nasdaq issues while the second addresses the same topic for the nyse. An abstract of the first report can be found here and of the second here. Both are interesting enough on their own, though I’ve yet to acquire the full reports.
Apart the story told by these two graphics, the articles highlight a few further trends. One is that execution quality is dramatically improving across the board in terms of both speed and price; since 2006, NYSE execution speeds have dropped a remarkable 92%. At the same time, the difference in price quality across venues has diverged, such that everyone will get you filled faster and better than before, but some do so with much more consistently good prices.
If I can get a hold of the original reports, I’ll write a more detailed review of their contents, but for now I just include the links, the catchy speed-charts and these few high-points. For shops dealing with smart order routing algorithms, the reports might be well worth purchasing and studying directly.
