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  2. INTERACTIVE
June 09, 2014 01:00 AM

TradeWatch for June 9, 2014

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    BROKER RANKINGS
    Ranked by difference in cost/savings against the Elkins/McSherry Arrival Price universe, based on the top 50 brokers in each category by U.S. dollar volume. Rolling four-quarter data as of March 31, 2014. Source: Elkins/McSherry, a State Street company.
    All trading

    Global brokers
    RankBrokerDifference
    1

    Credit Lyonnais

    -34.01
    2

    Morgan Stanley

    -19.16
    3

    Deutsche Bank

    -16.44
    4

    Instinet

    -11.37
    5

    UBS

    -11.26
    6

    CSFB

    -9.85
    7

    J.P. Morgan

    -7.25
    8

    BoA - Merrill Lynch

    -6.6
    9

    Russell Impl. Svcs.

    -5.96
    10

    Barclays Capital

    -0.89

    U.S. brokers
    RankBrokerDifference
    1

    Stifel Nicolaus

    -23.39
    2

    BTIG

    -21.4
    3

    William Blair

    -19.18
    4

    Morgan Stanley

    -5.55
    5

    Russell Impl. Svcs.

    -4.53
    6

    Bloomberg Tradebook

    -4.21
    7

    Weeden & Co.

    -3.54
    8

    UBS

    -1.62
    9

    Deutsche Bank

    -1.45
    10

    Wells Fargo Prime Svcs.

    -1.12
     
    Trades by order size

    Large orders: 50,000+ shares

     

    RankBrokerDifference
    1

    William Blair

    -25.47
    2

    RBC Capital Markets

    -20.15
    3

    Sanders Morris Harris

    -13.99
    4

    Russell Impl. Svcs.

    -6.66
    5

    Weeden & Co.

    -4.32
    6

    Deutsche Bank

    -3.2
    7

    Citigroup

    -3.04
    8

    Instinet

    -1.42
    9

    Bloomberg Tradebook

    -1.03
    10

    Janney Montgomery

    2.7

    Medium orders: 10,000 - 50,000 shares
    RankBrokerDifference
    1

    BTIG

    -12.88
    2

    William Blair

    -8.61
    3

    Morgan Stanley

    -7.85
    4

    Bloomberg Tradebook

    -7.34
    5

    Russell Impl. Svcs.

    -2.81
    6

    Robert W. Baird

    -2.5
    7

    Wells Fargo Prime Svcs.

    -2.07
    8

    ITG

    -1.76
    9

    UBS

    -1.55
    10

    Weeden & Co.

    -1.23

    Small orders: 10,000 shares

    or less

    RankBrokerDifference
    1

    Morgan Stanley

    -20.96
    2

    BTIG

    -20.87
    3

    Instinet

    -13.89
    4

    UBS

    -11.98
    5

    Robert W. Baird

    -11.28
    6

    Wells Fargo Prime Svcs.

    -7.46
    7

    Bloomberg Tradebook

    -6.7
    8

    Weeden & Co.

    -5.52
    9

    BoA - Merrill Lynch

    -5.06
    10

    Russell Impl. Svcs.

    -3.8
     
    Trades by liquidity

    0% - 20% of daily volume
    RankBrokerDifference
    1

    Stifel Nicolaus

    -25.09
    2

    William Blair

    -19.45
    3

    Oppenheimer & Co.

    -15.96
    4

    Morgan Stanley

    -6.98
    5

    Sanders Morris Harris

    -6.74
    6

    Russell Impl. Svcs.

    -4.16
    7

    Bloomberg Tradebook

    -3.82
    8

    Weeden & Co.

    -3.21
    9

    Instinet

    -3.11
    10

    UBS

    -2.3

    20% - 50% of daily volume
    RankBrokerDifference
    1

    Russell Impl. Svcs.

    -21.45
    2

    Deutsche Bank

    -17.16
    3

    Sterne Agee

    -16.61
    4

    BoA - Merrill Lynch

    -10.08
    5

    Bloomberg Tradebook

    -7.91
    6

    Barclays Capital

    -7.03
    7

    ITG

    -3.22
    8

    Weeden & Co.

    -0.69
    9

    Instinet

    0.31
    10

    Jefferies & Co.

    0.43

    50%+ of daily volume
    RankBrokerDifference
    1

    J.P. Morgan

    -27.39
    2

    Susquehanna

    -23.74
    3

    Deutsche Bank

    -16.75
    4

    CSFB

    -13.6
    5

    Wells Fargo Prime Svcs.

    -6.63
    6

    BoA - Merrill Lynch

    -5.9
    7

    Knight Capital Group

    -5.57
    8

    Jefferies & Co.

    -5.51
    9

    Weeden & Co.

    -5.46
    10

    BTIG

    -5.01
     
    Trades by market cap

    Giant cap
    RankBrokerDifference
    1

    Oppenheimer & Co.

    -35.22
    2

    William Blair

    -25.4
    3

    Sanders Morris Harris

    -14.74
    4

    Jefferies & Co.

    -7.69
    5

    Themis Trading

    -7.48
    6

    UBS

    -6.9
    7

    Weeden & Co.

    -2.88
    8

    J.P. Morgan

    -2.78
    9

    Russell Impl. Svcs.

    -1.97
    10

    Wells Fargo Prime Svcs.

    -1.84

    Large cap
    RankBrokerDifference
    1

    BTIG

    -19.65
    2

    Instinet

    -16.7
    3

    Robert W. Baird

    -10.83
    4

    Morgan Stanley

    -10.65
    5

    Citigroup

    -8.55
    6

    Liquidnet

    -6.7
    7

    Bloomberg Tradebook

    -5.84
    8

    Wells Fargo Prime Svcs.

    -2.78
    9

    Weeden & Co.

    -2.35
    10

    Themis Trading

    -2.3

    Midcap
    RankBrokerDifference
    1

    Deutsche Bank

    -30.58
    2

    William Blair

    -18.16
    3

    Bloomberg Tradebook

    -18.11
    4

    Liquidnet

    -16.88
    5

    Russell Impl. Svcs.

    -13.93
    6

    ITG

    -11.78
    7

    Weeden & Co.

    -6.58
    8

    Morgan Stanley

    -4.98
    9

    Wells Fargo Prime Svcs.

    -1.35
    10

    Jefferies & Co.

    -1.15
     

    Small cap
    RankBrokerDifference
    1

    Citigroup

    -28.29
    2

    RBC Capital Mkts.

    -17.68
    3

    Morgan Stanley

    -12.78
    4

    ITG

    -7.93
    5

    Instinet

    -4.97
    6

    Bloomberg Tradebook

    -1.91
    7

    Russell Impl. Svcs.

    -0.79
    8

    WallachBeth Capital

    1.62
    9

    CSFB

    3.17
    10

    Wells Fargo Prime Svcs.

    3.24

    Microcap
    RankBrokerDifference
    1

    Themis Trading

    -26.61
    2

    Stifel Nicolaus

    -23.98
    3

    Liquidnet

    -16.93
    4

    Deutsche Bank

    -15.84
    5

    Barclays Capital

    -13.56
    6

    Wells Fargo Prime Svcs.

    -10.02
    7

    Bloomberg Tradebook

    -1.78
    8

    Weeden & Co.

    -1.21
    9

    Cowen & Co.

    5.98
    10

    CSFB

    6.37
     
    TRADING ANALYTICS

    Commissions and implementation shortfall based on ITG’s peer group*. Volatility annualized is the 60-day historical volatility for the S&P 500 index. Data are as of March 31, 2014. Source: Investment Technology Group.

    U.S. trading costs: Commissions and implementation shortfall

     
    Average spread and annualized volatility of S&P 500 constituents

    *1Q 2014 peer data are preliminary.

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