U.S. Exchange and ECN Performance, First Half 2009
Invaluable to firms and individuals interested in an unbiased, data-based analysis of venue order handling at a high level across an extended time period.
This report evaluates exchange and ECN order handling on the basis of several factors important to users of market orders, marketable limit orders, and non-marketable (displayed limit) orders.
Summary level information on orders and executed shares is provided for the respective order types.
The handling of marketable orders is examined in context of execution speed, price, and reversion. The handling of non-marketable orders (inside-the-quote, at-the-quote, and near-the-quote limit orders) is evaluated on the basis of reversion.
Trading venues are ranked on the basis of metrics used to evaluate each characteristic and (in the case of marketable orders) on the basis of multiple characteristics for large-, mid-, small- and micro-cap securities.
The merits and weaknesses of the data set (data released by trading centers in accordance of Rule 605 under the Securities and Exchange Act of 1934) are discussed in detail.
This is the first in an series of reports to be released on a twice-yearly basis that evaluates exchange and ECN order handling in light of changes in technology, product, and service offerings.
