Transcript NYFIX Solutions Sales Presentation Deck 010110

Sales Presentation (written/edited by J Tormey)
January xx, 2008
NYFIX: Who We Are
Who We Are
Solutions
An innovator in institutional trading and software services since 1994
Four areas of focus:




FIX CONNECTVITY (Community)
FIX SOFTWARE
TRADE EXECUTION SERVICES
ORDER MANAGEMENT
Warburg Pincus invested on belief in the NYFIX model:
2

A widely used, independent, and trusted partner

A large community of long-term users who rely on NYFIX

Deep expertise in electronic order routing and execution

A product & service platform designed for global expansion
Challenges in the New Capital Markets
Who We Are
Solutions
Dramatic increase in electronic trading volumes and fragmentation

US leading - Europe and Asia coming

Exchanges, global brokers and dark pools all competing
Regulation

MiFID in Europe, RegNMS in the US
“Best execution” requirements

Need for neutral solutions to monitor and measure trading performance
Demand for multi-asset class solutions - on the horizon
Accelerating changes impacting IT resources - globally
3
In Short…
Who We Are
In an environment where financial
institutions are struggling with
ever-increasing volumes and
technology challenges
NYFIX optimizes the business of trading
4
Solutions
A Vision to Address These Challenges
Who We Are
Solutions
NYFIX optimizes the business of trading through:
 A robust platform to optimize
the critical components of
electronic trading workflow
 An organization dedicated to
technical excellence, expertise
and customer service.
 A commitment to extend and
support the reach of our client
community, as their needs
expand globally
5
NYFIX Solutions
NYFIX Solutions
Who We Are
Appia
TradeScope
Appia &
TradeScope
7
Millennium/NEXAS/DMA
IOI
CSAs
Dark Pools
& ATSs
Marketplace
FIXTrader
OMS
Millennium
NEXAS
DMA
Exchanges
Solutions
Services
Appia – The Market Leader
Who We Are
Overview

Key Features
Detail
Appia & TradeScope
The #1 FIX engine globally –
FPL and Tower GroupSM Survey – 12/2005
 Over
1,000 production engines
in 30 countries
out of Top 10 Brokers –
25 out of the top 50
6

49% of the Buy Side Market
TowerGroup 2006 Survey
Serving the most demanding trading environments since 1998
8
Solutions
5.0
Appia – The Market Leader
Who We Are
Overview
Key Features
Detail
Solutions
Appia & TradeScope
10 years at the forefront of FIX software
and FIX network development
Working with the most advanced
trading firms globally
Deep and ongoing investment in people,
tools, and systems development
Serving the most demanding trading environments since 1998
9
5.0
Appia – What It Does
Who We Are
Overview
Appia manages the OMS
interface, and all trade order
and execution data - in and
out of a trading environment.
Key Features
Detail
Solutions
Appia & TradeScope
5.0
Appia manages all
network connections to
thousands of trading
counterparties globally.
Clients
Exchanges
OMS
Appia
Order
Management
System
FIX
Engine
Software
FIX NETWORKS
Trading
Appia - Order Flow Management
10
Dark
Pools
Appia – Key Features
Who We Are
Overview
High speed – low latency
Scaleable
Key Features
Detail
Solutions
Appia & TradeScope
 Servicing the most demanding
electronic trading environments
 High volume message throughput with
ultra-low latency
 40,000 MPS, <1 Millisecond PMsg*
Customizable
 Highly configurable for maximum
performance
24 hour global support
Fail-over & backup
* Quad CPU Intel 64 bit
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5.0
Appia – Key Features
Who We Are
Overview
High speed – low latency
Scaleable
Customizable
Key Features
instance, or as an array across multiple
desks around the globe
Desk 1
A
A
Desk 2
A
A
Desk 3
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Appia & TradeScope
 Appia today can be used in a single
24 hour global support
Fail-over & backup
Detail
Solutions
A
A
C
L
I
E
N
T
S
5.0
Appia – Key Features
Who We Are
Overview
High speed – low latency
Scaleable
Key Features
Appia & TradeScope
5.0
 Hundreds of pre-built adaptors (plug-ins).
 Open framework for experienced users.
User extensible framework for plugging in your
custom code directly into Appia:
Inbound
Message Filter
Plug-in
Inbound
Routing Switch
Plug-in
Inbound
Post Validation
Plug-in
Inbound
Pre-Validation
Plug-in
Inbound
Pre-Parser
Plug-in
Counterparty
Customizable
Appia
24 hour global support
Trading
Application
Fail-over & backup
Detail
Solutions
Appia
Appia
Message
Database
Appia
Log
File
Click to ENLARGE
13
Appia – Key Features
Who We Are
Overview
High speed – low latency
Scaleable
Customizable
Key Features
Detail
 Global Level I support, 24 X 7
 True product specific Level II & III
support teams in all regions
 Strongest global FIX expertise &
development Support staff since 2000:
● US ● EMEA ● ASIA
● New York
24 hour global support
Fail-over & backup
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Appia & TradeScope
● London
Tokyo ●
Manila ●
Solutions
5.0
Appia – Key Features
Who We Are
Overview
High speed – low latency
Key Features
Detail
Solutions
Appia & TradeScope
 Fast fail-over to secondary server to insure
trading continuity (user defined options)
 Proprietary algorithm constantly replicates
information to guarantee server
synchronization.
Scaleable
 Disaster site fail–over and recovery
Customizable
management; with complete replication of
primary server
24 hour global support
Fail-over & backup
5.0
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Coming 2008
Appia 5.0
Featuring: Dynamic Load Balancing
5.0
Appia – How It Works
Who We Are
Overview
Middleware


Appia Engine
Manages connectivity adapters
to the OMS
All versions:
 Socket
 Tibco
 MQ series  C++/Java
 .Net toolkits
 JMS
OMS

Middleware
Appia
Appia
HA
FIX
Engine
Software
FIX NETWORKS
Appia 5.0

Full synchronization with
second Appia
LAN and/or WAN
Appia - Order Flow Management
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5.0
Protocols supported
 FIX 4.0-5.0
 CMS
 CTCI ACT
 CTCI Trace
Counterparties
Flat File
JDBC
High Availability


LOG
FILE
Coming 2008
Featuring: Dynamic
Load Balancing
Appia & TradeScope
Session Management
Multi-threaded core process
 Formatting
 Translation
 Validation
 Security
Order
Management
System
5.0
Detail
Key Features
Solutions
Logging and
Persistence


Full Data Recovery
Multiple Connections
Appia & TradeScope – Working Together
Who We Are
Overview
Key Features
Detail
Solutions
Appia & TradeScope
5.0
TradeScope – managing the entire process
Trade
Order
Detail
FIX
Infrastructure
All
Connections
TradeScope
Clients
Monitoring
Tool
Trading Support
Exchanges
OMS
Appia
Order
Management
System
FIX
Engine
Software
FIX NETWORKS
Trading
Appia - Order Flow Management
22
Dark
Pools
TradeScope
Who We Are
Overview
Key Features

TradeScope is a comprehensive FIX monitoring and reporting tool

Proactive method for managing the FIX infrastructure

Web-based server application
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Solutions
Detail
TradeScope – What It Does
Who We Are
Overview
Solutions
Key Features
Detail
TradeScope – managing the entire process
Trade
Order
Detail
FIX
Infrastructure
All
Connections
TradeScope
Clients
Monitoring
Tool
Trading Support
Exchanges
OMS
Order
Management
System
Appia
FIX NETWORKS
FIX
Engine
Software
Trading
Appia - Order Flow Management
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Dark
Pools
TradeScope – What It Does
Who We Are
Overview
Solutions
Key Features
Detail
TradeScope – managing the entire process
Trade
Order
Detail
FIX
Infrastructure
All
Connections
TradeScope
Clients
Monitoring
Tool
Trading Support
Exchanges
OMS
Order
Management
System
Appia
FIX NETWORKS
FIX
Engine
Software
Trading
Appia - Order Flow Management
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Counter
parties
Dark
Pools
TradeScope – Key Features
Who We Are
Overview
Key Features
Solutions
Detail
TradeScope – managing the entire process
OMS
Order
Management
System
Trade Order Manager
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Appia
FIX
Engine
Software
FIX Infrastructure
FIX NETWORKS
Counter
parties
Connection Manager
TradeScope – Key Features
Who We Are
Overview
Key Features
Solutions
Detail
TradeScope – managing the entire process
OMS
Order
Management
System
Trade Order Manager
 View and manage all open
and executed orders
 Translate from FIX to “English”
 Find complete order chain
with just one click
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Appia
FIX
Engine
Software
FIX Infrastructure
FIX NETWORKS
Counter
parties
Connection Manager
TradeScope – Key Features
Who We Are
Overview
Key Features
Solutions
Detail
TradeScope – managing the entire process
OMS
Order
Management
System
Trade Order Manager
 View and manage all open
and executed orders
 Translate from FIX to “English”
 Find complete order chain
with just one click
 Drill into order details and make
modifications on the fly
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Appia
FIX
Engine
Software
FIX Infrastructure
FIX NETWORKS
Counterparties
Connection Manager
TradeScope – Key Features
Who We Are
Overview
Key Features
Solutions
Detail
TradeScope – managing the entire process
OMS
Order
Management
System
Trade Order Manager
 Manage up to 500 FIX
engines
 All aspects, all details
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Appia
FIX
Engine
Software
FIX Infrastructure
FIX NETWORKS
Counterparties
Connection Manager
TradeScope – Key Features
Who We Are
Overview
Key Features
Solutions
Detail
TradeScope – managing the entire process
OMS
Appia
Order
Management
System
Trade Order Manager
FIX
Engine
Software
FIX Infrastructure
 Monitor all sessions and connectivity
status
 Easily find counterparties
 Complete session control and
management
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FIX NETWORKS
Counterparties
Connection Manager
TradeScope – Key Features
Who We Are
Overview
Solutions
Key Features
Detail
TradeScope – managing the entire process
OMS
Appia
Order
Management
System
FIX
Engine
Software
Trade Order Manager
Security
FIX Infrastructure
Counterparties
Connection Manager
 Multi-level “roles” and responsibility-based





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FIX NETWORKS
tools
Designate who can make critical changes
Prevent accidental interruption of trading
Limit direct user access to production systems
Complete audit trail of user events
Import your firm’s security policies
TradeScope – Key Features
Who We Are
Overview
Solutions
Key Features
Detail
TradeScope – managing the entire process
OMS
Appia
Order
Management
System
FIX NETWORKS
FIX
Engine
Software
Trade Order Manager
Security
Alerts
FIX Infrastructure
 Proactive connection
alerts
 System and engine
level health
 Order and execution
thresholds
Connection Manager
TradeScope Notifier
EMail
SNMP
Pager
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Counterparties
Custom
TradeScope – How It Works
Who We Are
Key Features
Overview
Solutions
Detail
Enterprise-wide
FIX Engines
Global
Operations
JMS
Appia
New York
Traders
New York
London
Tokyo
Appia
TradeScope
Server
Rules
Engine
JMS
FIX
Monitor
Appia
TradeScope
London
Server
Custom
Trade
Level
Alerts
Appia
Notifier
JMS
Appia
Developers
Tokyo
2nd Level
Support
Engine*
Pager
Custom
*
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EMail
SNMP
Works with other vendor engines (e.g. Cameron,
TransactTools, Others…)
NYFIX Marketplace
TM
Who We Are
Overview
Products
Appia &
TradeScope
36
Key Features
IOI
CSAs
Dark Pools
& ATSs
Global Service
FIXTrader
OMS
Millennium
NEXAS
DMA
Exchanges
Solutions
Professional Services
NYFIX Marketplace
TM
Who We Are
Overview
Products
Global Service
Key Features
Solutions
Professional Services
The Industry’s Broadest and Deepest FIX-based Trading Community
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NYFIX Marketplace – Experience & Commitment
TM
Who We Are
Overview
Products
Global Service
Key Features
Solutions
Professional Services
10 years at the forefront of FIX
network development & operations
Over 900 Institutional clients
Ongoing investment in people, tools and
systems development
Serving the most demanding trading environments since 1997
38
NYFIX Marketplace – Benefits
TM
Who We Are
Overview
Fully managed
network

Handles all client
connectivity
Significantly
reduced IT burden

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Single connection
model
Products
Global Service
Key Features
Solutions
Professional Services
Time-tested
architecture

Highly flexible
 Designed for data
integrity and reliability
Rapid connectivity
to counterparties

Most already connected
NYFIX Marketplace – Order Routing
TM
Who We Are
Products
Overview
370
Buy-side Firms
Global Service
SINGLE
CLIENT
CONNECTION
420
Sell-side Firms
National
Asset Managers
7,500+
Quants
Regional
Clearing Houses
Dark Pools
40
Professional Services
Global
Mutual Funds
Hedge Funds
Key Features
Solutions
Exchanges
NYFIX Marketplace – IOIs (Indications of Interest)
TM
Who We Are
Overview
171
Products
Global Service
Key Features
Solutions
Professional Services
111
Buy-side Firms
Brokers
integrate NYFIX
IOIs directly into
the OMS blotter
sending IOIs
CRD
LineData
Eze Castle
Broker
Latent Zero
InData
Proprietary
Matching real IOIs
against open order
offers the best chance
of capturing liquidity
41
Filtering at NYFIX back
end prevents message
overload at the OMS
NYFIX Marketplace
TM
– Mission
Critical Service
Who We Are
Overview
Products
Global Service Key Features
Solutions
Professional Services
Over 12 years of high-production FIX networking
Expert on-boarding – start to finish
Experienced FIX certification & translation
Dedicated Global Support – 24 x 5.5
42
NYFIX Marketplace – Global Support Team
TM
Who We Are
Overview
Products
Global Service Key Features
Solutions
Professional Services
London
Boston
Chicago
New York
Paris
Madrid
Tokyo
San Francisco
Hong Kong
Manila
43
NYFIX Marketplace
TM
– Faster
Access to New Services
Who We Are
Overview
Products
Global Service
Key Features
Solutions
Professional Services
 NYFIX open architecture avoids lengthy re-
Open Architecture
verification of new FIX tags and layouts
 Allows faster access to new broker algorithms
and other electronic venues
OMS On-boarding
FIX End-of-Day process
Buy-side
Sell-side
370 members
420 members
M Fund
A Mgr
Index
Broker
New Algo
Hedge
Quant
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Expedites access
to new broker
algorithms
NYFIX Marketplace
TM
– Simplifies
OMS Migration
Who We Are
Overview
Products
Global Service
Key Features
Solutions
Professional Services
 NYFIX simplifies OMS migrations
Open Architecture
 Eliminates the need to open firewalls and
ports with each individual counterparty
OMS On-boarding
 NYFIX enables simplified re-networking
Buy-side
FIX End-of-Day process
•
•
•
•
•
CRD
LineData
Eze Castle
Latent Zero
Others
Re-networking
Re-networking
Re-networking
Broker 1
Broker 2
Broker 3
OMS On-boarding
Buy-side
•
•
•
•
•
45
CRD
LineData
Eze Castle
Latent Zero
Others
Broker 1
One-time
Broker 2
Broker 3
NYFIX Marketplace
TM
– Eliminates
E.O.D. Headaches
Who We Are
Overview
Products
Global Service
Key Features
Solutions
Professional Services
 NYFIX greatly simplifies E.O.D. process
Open Architecture
 Direct connections require daily coordination
with every counterparty
OMS On-boarding
 Faulty E.O.D. process results in trade errors
5:20pm
FIX End-of-Day process
5:35pm
Buy-side
Broker 1
Broker 2
(pt.-to-pt.)
6:10 pm
Broker 3
E.O.D Process
Broker 1
Buy-side
One-time
Broker 2
(NYFIX)
Broker 3
46
NYFIX Professional Services
Who We Are
Overview
Products
Global Service
Key Features
Optimize your investments with NYFIX technology
specialists
Recognized experts in FIX software:
 Increase your efficiencies, reduce costs, and maximize output
 Customize solutions to meet your specific needs
 Receive local support from offices in global financial centers
10 years of FIX Protocol and FIX Engine expertise
Flexible pricing packages available
47
Solutions
Professional Services
NYFIX - FIX Training
Who We Are
Overview
Products
Global Service
Key Features
Solutions
Professional Services
For successful FIX implementation and uptake
 Targeted to Developers, On-boarding
Teams, Help Desks, and Business
Users
 Introductory FIX Training
 Basic “Jumpstart” Orientation and Education
 FIX Engine Basics
 Fundamental Integration Concepts
 Advanced, Customized FIX Training







48
FIX in Detail
Advanced Integration Concepts
Session Layer and Application Layer
Connection On-boarding and Certification
High Availability and Disaster Recovery
FIX Across Asset Classes
Trading with Exchanges
NYFIX Transaction Services
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
NYFIX provides a suite of transaction services to help achieve
optimal execution on the Buy-side and Sell-side.
Millennium
– Dark Pool ATS
NEXAS
– NYFIX Execution and Algorithmic Solutions
NYFIX Direct - DMA
– Direct Market Access
49
NYFIX Millennium®
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
A “Dark Pool” Alternative Trading System (ATS) launched in 2001 to
provide access to non-displayed liquidity:
 Continuous, real-time matching engine
 No minimum order quantity
 Open to all types of clients and order flow
 Pure price priority – all clients treated equally
 Flexible connectivity options (OMS, EMS, FIX)
 Supports multiple order types to allow full control of
interaction by clients – not mid-point constrained
 US equities (NYSE/AMEX Listed and NASDAQ)
50
NYFIX Millennium® - Statistics
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
Recent Stats
 41.1 million shares/day executed on average in November 2007
(up 29% from November 2006)
 6,400 exposed symbols/day and 2,400 executed symbols/day on
average in November 2007
 889 executed NASDAQ symbols/day accounting for roughly 21% of
executed volume
 Record day – 95 million shares
 Approximately 1.4 billion shares of liquidity are available in
Millennium on average each day
51
NYFIX Millennium® - Security Coverage Executed
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
Depth and Breadth
 45% of order flow occurred in names with market caps < $1B
 80% of order flow occurred in names with market caps < $5B
 Price improvement increased as market cap decreased
52
NYFIX Millennium® - ATS Volume
Who We Are
NYFIX Millennium
Transaction Services
NYFIX NEXAS
Solutions
NYFIX DMA
95M
Record Day
49.0
29.7
14.0
7.0
Q2
Q3
2004
53
Q4 Q1
Q2
Q3
2005
Q4
Q1
Q2
Q3
2006
Q4
Q1
Q2 Q3
2007
Consolidates Dark Liquidity Fragmentation
Who We Are
Transaction Services
NYFIX Millennium
Solutions
NYFIX NEXAS
NYFIX DMA
GUERILLA
Pipeline
Liquidnet
MERRILL LYNCH
DARK SERVER
NIGHT VISION
NIGHTHAWK
FUSION
ARID/AQUA
BEAR STEARNS
FUSOR
ATS
TAP
SCOUT
SONAR
DEUTSCHE
ROBE
B-TRADE
LAVA
COVERT
54
HYDRA
VORTEX
NYFIX Millennium® ATS – Order Types
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
Resident Order
 An order that rests in Millennium to interact with pass-
through orders and other resident orders
Pass-Through Order
 An order that seamlessly checks for liquidity in
Millennium before routing to another exchange or
market center
Millennium “Plus”
 Allows pass-through and resident orders from any client
to draw liquidity from other sources providing
“aggregation of non-displayed liquidity”
55
NYFIX Millennium® – Bloomberg Advertised Volume
Who We Are
Transaction Services
56
NYFIX Millennium
NYFIX Millennium Advertised Volume Available on Bloomberg
NYFIX NEXAS
Solutions
NYFIX DMA
NYFIX Millennium® – Anti-Gaming Logic
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
 An order setting for institutions that protects an order
against gaming within Millennium.
 To determine whether an order needs to move from
unprotected to protected mode, NYFIX Securities tracks
price, volume, and time for that order. A combination of
certain price, volume and/or time parameters
determines when the order switches to protected mode.
 In layman’s terms, the new order types kicks in only
when an order experiences significantly adverse price
movement without volume sufficient to make that move
acceptable.
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NYFIX – NEXAS®
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
Full suite of Algorithm strategies integrated with Millennium
and our DMA solutions:
 VWAP
 Corporate Buyback (Passive Buyer)
 TWAP
 Millennium Optimizer
 Inline (% of Volume)
 Stealth
Certified with several OMS/EMS providers as well as direct
FIX connections from clients
58
NYFIX – Direct Market Access (DMA)
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Solutions
NYFIX DMA
High capacity/low latency execution solutions for delivering
client order flow to exchanges and ECNs
Single destination supports Listed and OTC
NYSE, AMEX, NASDAQ, Regionals, ECNs
Building out full access to protected exchanges for Reg NMS
Smart Order Router will add additional value to DMA solutions
Millennium interaction is a unique value for NYFIX
Multi-Market solution for Europe
59
NASDAQ securities - #2 on price
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Overall Ranking of 30 Largest
NASDAQ Market Centers
Price
Market Center
Ranking
These rankings are based on
the effective-over-quoted
spread achieved by market
centers for a large variety of
different segments.
Orders were categorized into
a number of different
segments, including order
type (market or marketable
limit) and size (large or small)
as well as the liquidity
segment (15 most active, 100
most active, mid-active and
least active).
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Price
Market Center
Ranking
1
Instinet
16
National Financial
2
NYFIX
17
Direct Edge (ADF)
3
Nasdaq MC
18
Direct Edge ECN
4
ATD
19
Track ECN
5
Citadel Derivatives
20
Bear Sterns
6
Lehman Bros
21
Wachovia
7
Madoff
22
Pershing
8
Knight
23
Morgan Stanley
9
ArcaEx
24
Goldman Sachs
10
E*Trade
25
LavaFlow
11
AG Edwards
26
Tradebook
12
UBS Securities
27
Raymond James
13
Scottrade
28
Lehman Bros
14
Citigroup
29
Deutsche Bank
15
BATS Training
30
CHX Matching
Source: Celent analysis; raw data from firms’ SEC Rule 605 execution quality reports.
Note: Includes only large marketable orders, implausible figures omitted. All figures are percentages.
Solutions
NYFIX DMA
NYSE securities - #1 on price
Who We Are
Transaction Services
NYFIX Millennium
NYFIX NEXAS
Overall Ranking of 30 Largest
NYSE Market Centers
Price
Market Center
Ranking
These rankings are based on
the effective-over-quoted
spread achieved by market
centers for a large variety of
different segments.
Orders were categorized into
a number of different
segments, including order
type (market or marketable
limit) and size (large or small)
as well as the liquidity
segment (15 most active, 100
most active, mid-active and
least active).
61
Price
Market Center
Ranking
1
NYFIX
16
Bear Hunter
2
Instinet
17
Pershing
3
Citigroup
18
Direct Edge (ADF)
4
Knight
19
Van der Moolen
5
Citadel Derivatives
20
La Branche
6
Nasdaq MC
21
Direct Edge ECN
7
ATD
22
Wagner Stott Bear
8
Lehman Bros
23
Spear Leeds & Kellogg
9
Madoff
24
Fleet Meehan
10
UBS Securities
25
PSG
11
E*Trade
26
NYSE ITS
12
National Financial
27
La Branche Structured
13
ArcaEx Scottrade
28
LavaFlow
14
BATS Training
29
Lehman Bros
15
Susquehanna
30
CHX Matching
Source: Celent analysis; raw data from firms’ SEC Rule 605 execution quality reports.
Note: Includes only large marketable orders, implausible figures omitted. All figures are percentages.
Solutions
NYFIX DMA
NYSE securities - #1 in pricing for large orders
Who We Are
Transaction Services
NYFIX Millennium
Solutions
NYFIX NEXAS
NYFIX DMA
Effective-over-Quoted Spreads by Market Center
For Selected Active Issues for Large Marketable Orders
Market Center
AMD
NYFIX
76
Knight
94
Nasdaq MC
COP
F
GE
78
99
153
70
86
99
142
99
BATS Trading
106
118
ATD
101
ArcaEx
101
Lehman Bros
108
Direct Edge ECN
97
HAL
MOT
PFE
S
T
TXN
WMT
XOM
79
87
92
81
91
37
143
87
103
142
80
77
70
100
106
108
124
96
102
101
99
99
99
100
104
98
141
101
104
107
107
108
102
107
112
107
109
106
156
97
102
109
107
99
101
101
99
105
98
124
179
101
103
114
144
100
101
101
105
109
123
176
102
97
141
107
109
147
100
225
147
97
101
100
113
108
102
105
104
147
131
235
190
Van der Moolen
Citigroup
HPQ
119
154
100
94
Fleet Meehan
116
107
120
130
117
236
113
176
UBS Securities
103
304
99
102
125
135
102
100
106
122
146
127
270
Citadel Derivatives
100
526
97
104
108
116
93
96
101
109
139
122
175
Wagner Stott Bear
110
Madoff
108
284
E*Trade
133
Instinet
109
Tradebook
106
348
445
National Financial
62
100
111
193
191
113
104
108
123
118
138
105
138
247
424
139
122
137
123
180
125
95
110
223
491
92
66
80
114
293
100
78
107
183
161
101
95
104
117
161
177
717
98
La Branche
102
116
141
229
98
163
116
174
143
142
114
97
162
163
531
322
152
Source: Celent analysis; raw data from firms’ SEC Rule 605 execution quality reports.
Note: Includes only large marketable orders, implausible figures omitted. All figures are percentages.
7835
Very Good
<100%
Good
100-110%
Average
110-130%
Poor
130-200%
Very Poor
>200%