INTERACTIVE

TradeWatch for August 18, 2014

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 June 30, 2014+B378. Source: Elkins/McSherry, a State Street company.
All trading
Global brokers
RankBrokerDifference
1 Liquidnet -42.23
2 Credit Lyonnais -33.36
3 Morgan Stanley (MS) -17.11
4 Sanford C. Bernstein -15.65
5 Deutsche Bank -14.71
6 UBS -13.28
7 J.P. Morgan -12.97
8 BofA - Merrill Lynch -12.29
9 Instinet -11.65
10 Russell Imp. Services -4.23
U.S. brokers
RankBrokerDifference
1 Stifel Nicolaus -32.9
2 Agency Trading Group -16.99
3 Morgan Stanley -16.29
4 Sanders Morris Harris -13.03
5 Liquidnet -12.33
6 State Street Bank -12.09
7 Russell Imp. Services -11.98
8 Robert W. Baird -11.27
9 Bloomberg Tradebook -11.24
10 Weeden -10.04
 
Trades by order size
Large orders: 50,000+ shares
 
RankBrokerDifference
1 Sanders Morris Harris -19.08
2 Russell Imp. Svcs. -13.85
3 State Street Bank -12.05
4 Weeden -10.79
5 WallachBeth Capital -10.93
6 Agency Trading Group -9.94
7 Instinet -8.17
8 Bloomberg Tradebook -7.99
9 Williams Capital -7.86
10 Susquehanna -7.83
Medium orders: 10,000 - 50,000 shares
RankBrokerDifference
1 Pavilion Global Markets -29.54
2 Morgan Stanley -18.92
3 UBS -17.52
4 Agency Trading Group -16.98
5 State Street Bank -16.93
6 Robert W. Baird -16.61
7 Bloomberg Tradebook -14.66
8 ITG -12.14
9 Wells Fargo Prime Svcs. -11.39
10 Russell Imp. Svcs. -10.57
Small orders: 10,000 shares
or less
RankBrokerDifference
1 Morgan Stanley -42.43
2 Agency Trading Group -26.34
3 BofA - Merrill Lynch -24.57
4 Liquidnet -23.42
5 Wells Fargo Prime Svcs. -14.74
6 Weeden -12.33
7 UBS -12.06
8 Russell Imp. Svcs. -11.18
9 Sanford C. Bernstein -3.02
10 BTIG -1.93
 
Trades by liquidity
0% - 20% of daily volume
RankBrokerDifference
1 Deutsche Bank -25
2 CSFB -20.4
3 Liquidnet -16.46
4 BofA - Merrill Lynch -15.52
5 Wells Fargo Prime Svcs. -13.77
6 Agency Trading Group -12.58
7 BTIG -12.4
8 WallachBeth Capital -12.3
9 Jefferies & Co. -10.83
10 Weeden -9.17
20% - 50% of daily volume
RankBrokerDifference
1 Liquidnet -32.45
2 Russell Imp. Svcs. -30.32
3 J.P. Morgan -26.88
4 Bloomberg Tradebook -16.31
5 Agency Trading Group -12.06
6 WallachBeth Capital -9.9
7 Jefferies & Co. -8.79
8 Susquehanna -8.48
9 Williams Capital -7.76
10 Weeden -7.4
50%+ of daily volume
RankBrokerDifference
1 Pavilion Global Markets -50.03
2 Stifel Nicolaus -35.6
3 William Blair -29.42
4 Morgan Stanley -18.13
5 Agency Trading Group -17.94
6 Sanders Morris Harris -13.28
7 Weeden -12.52
8 Robert W. Baird -12.13
9 UBS -11.88
10 State Street Bank -11.87
 
Trades by market cap
Giant cap
RankBrokerDifference
1 Sanders Morris Harris -18.25
2 Robert W. Baird -13.95
3 Agency Trading Group -9.79
4 J.P. Morgan -9.66
5 Morgan Stanley -4.79
6 UBS -4.46
7 Weeden -3.13
8 Russell Imp. Svcs. -2.89
9 Wells Fargo Prime Svcs. -1.94
10 Raymond James -1.89
Large cap
RankBrokerDifference
1 UBS -15
2 Morgan Stanley -14.54
3 Citigroup -13.19
4 Instinet -13.19
5 Liquidnet -9.39
6 Agency Trading Group -9.25
7 Wells Fargo Prime Svcs. -3.53
8 Weeden -2.86
9 Russell Imp. Svcs. -2.2
10 BofA - Merrill Lynch -0.84
Midcap
RankBrokerDifference
1 ITG -29.09
2 Russell Imp. Svcs. -23.7
3 Liquidnet -22.69
4 Agency Trading Group -19.88
5 Weeden -14.62
6 Wells Fargo Prime Svcs. -12.83
7 Morgan Stanley -10.17
8 BTIG -7.83
9 Deutsche Bank -1.54
10 Themis Trading 2.58
 
Small cap
RankBrokerDifference
1 Craig Hallum Capital -22.54
2 RBC Capital Markets -19.48
3 ITG -14.62
4 Agency Trading Group -14.57
5 Bloomberg Tradebook -5.18
6 SG Americas Secs. -1.49
7 Russell Imp. Svcs. -1.13
8 Wells Fargo Prime Svcs. 0.96
9 Morgan Stanley 1.17
10 WallachBeth Capital 1.84
Microcap
RankBrokerDifference
1 Agency Trading Group -34.03
2 Weeden -23.46
3 Wells Fargo Prime Svcs. -17.59
4 BNY ConvergEx -15.17
5 Bloomberg Tradebook -7.13
6 Russell Imp. Svcs. -2.09
7 Aqua Securities -1.04
8 BTIG 5.26
9 Meridian Equity Ptn. 7.02
10 Morgan Stanley 9.12 
 
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 June 30, 2014. Source: Investment Technology Group.
U.S. trading costs: Commissions and implementation shortfall
 
Average spread and annualized volatility of S&P 500 constituents
*2Q 2014 peer data are preliminary.