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  2. INTERACTIVE
August 24, 2015 01:00 AM

Tradewatch for Aug. 24, 2015

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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 are as of June 30, 2015. Source: Elkins/McSherry, a State Street company.
    All trading

    Global brokers
    RankBrokerDifference
    1

    Liquidnet

    -42.46
    2

    Morgan Stanley

    -32.71
    3

    BTIG

    -31.07
    4

    Kepler Cheuvreux

    -29.27
    5

    Agency Trading Group

    -28.84
    6

    Weeden

    -26.42
    7

    Deutsche Bank

    -23.55
    8

    WallachBeth Capital

    -21.63
    9

    J.P. Morgan

    -17.08
    10

    UBS

    -15.69

    U.S. brokers
    RankBrokerDifference
    1

    Pavilion Global Markets

    -43.25
    2

    UBS

    -23.19
    3

    Russell Impl. Svcs.

    -10.92
    4

    Liquidnet

    -3.21
    5

    WallachBeth Capital

    -2.82
    6

    Gar Wood Securities

    -2.18
    7

    Weeden

    -1.54
    8

    Wells Fargo Prime Svcs.

    -1.51
    9

    Jefferies

    -1.43
    10

    Harris Associates

    -1.14
     
    Trades by order size

    Large orders: 50,000+ shares

     

    RankBrokerDifference
    1

    Russell Impl. Svcs.

    -41.97
    2

    UBS

    -35.64
    3

    Weeden

    -5.21
    4

    Gar Wood Securities

    -4.19
    5

    WallachBeth Capital

    -3.24
    6

    Liquidnet

    -2.31
    7

    Jefferies

    -1.06
    8

    CAPIS

    0.59
    9

    FBN Securities

    3.62
    10

    Guzman

    4.08

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

    Harris Associates

    -9.47
    2

    UBS

    -8.16
    3

    Agency Trading Group

    -5.94
    4

    Jefferies

    -5.71
    5

    Wells Fargo Prime Svcs.

    -5.22
    6

    Liquidnet

    -2.75
    7

    Morgan Stanley

    2.27
    8

    Weeden

    2.49
    9

    William Blair

    3.07
    10

    Gar Wood Securities

    3.74

    Small orders: 10,000 shares

    or less

    RankBrokerDifference
    1

    UBS

    -29.6
    2

    Harris Associates

    -12.37
    3

    Agency Trading Group

    -6.81
    4

    Morgan Stanley

    -5.1
    5

    Liquidnet

    -5
    6

    Gar Wood Securities

    -2.83
    7

    Wells Fargo Prime Svcs.

    -2.47
    8

    Weeden

    -1.99
    9

    Guzman

    1.64
    10

    Themis Trading

    1.77
     
    Trades by liquidity

    0% - 20% of daily volume
    RankBrokerDifference
    1

    Pavilion Global Markets

    -43.25
    2

    UBS

    -24.87
    3

    Jefferies

    -10.14
    4

    Jones & Associates

    -7.84
    5

    Russell Impl. Svcs.

    -4.56
    6

    Weeden

    -2.31
    7

    Gar Wood Securities

    -1.97
    8

    Harris Associates

    -1.91
    9

    Wells Fargo Prime Svcs.

    -1.5
    10

    Agency Trading Group

    -0.69

    20% - 50% of daily volume
    RankBrokerDifference
    1

    UBS

    -44.09
    2

    Liquidnet

    -26.14
    3

    Instinet

    -6.45
    4

    BNY ConvergEx

    -2.84
    5

    CAPIS

    -2.4
    6

    Susquehanna Financial

    -2.01
    7

    Gar Wood Securities

    -1.99
    8

    Harris Associates

    0.45
    9

    Williams Capital

    0.62
    10

    Agency Trading Group

    0.74

    50%+ of daily volume
    RankBrokerDifference
    1

    J.P. Morgan

    -15.19
    2

    Guzman

    -5.64
    3

    Gar Wood Securities

    -3.76
    4

    Wells Fargo Prime Svcs.

    -3.71
    5

    Jane Street Capital

    -3.47
    6

    CAPIS

    -3.35
    7

    WallachBeth Capital

    -2.81
    8

    Weeden

    -2.77
    9

    Liquidnet

    -2.7
    10

    BTIG

    0.3
     
    Trades by market cap

    Giant cap
    RankBrokerDifference
    1

    Pavilion Global Mkts.

    -46.31
    2

    UBS

    -33.84
    3

    Russell Impl. Svcs.

    -33.35
    4

    Jones & Associates

    -33.12
    5

    Jefferies

    -13.22
    6

    WallachBeth Capital

    -11.39
    7

    CAPIS

    -7.47
    8

    BMO Capital Markets

    -7.45
    9

    Weeden

    -6.58
    10

    Wells Fargo

    -6.14

    Large cap
    RankBrokerDifference
    1

    Jefferies

    -43.29
    2

    UBS

    -31.72
    3

    Weeden

    -29.6
    4

    Agency Trading Group

    -28.81
    5

    Russell Impl. Svcs.

    -28.38
    6

    Gar Wood Securities

    -27.38
    7

    Wells Fargo Prime Svcs.

    -27.26
    8

    Morgan Stanley

    -25.97
    9

    Guzman

    -24.33
    10

    Harris Associates

    -23.04

    Midcap
    RankBrokerDifference
    1

    CAPIS

    -19.15
    2

    Harris Associates

    -18.74
    3

    Jefferies

    -12.84
    4

    Sanford C. Bernstein

    -9.9
    5

    Agency Trading Group

    -9.74
    6

    Gar Wood Securities

    -6.14
    7

    UBS

    -3.62
    8

    Weeden

    -3.07
    9

    Wells Fargo Prime Svcs.

    -0.27
    10

    BTIG

    1.96
     

    Small cap
    RankBrokerDifference
    1

    Guzman

    -17.21
    2

    UBS

    -10.64
    3

    WallachBeth Capital

    -6.5
    4

    Gar Wood Securities

    -6.44
    5

    Susquehanna Financial

    -6.32
    6

    ITG

    -4.56
    7

    Agency Trading Group

    -3.76
    8

    Harris Associates

    -0.64
    9

    Williams Capital

    0.01
    10

    BTIG

    4.47

    Microcap
    RankBrokerDifference
    1

    Cowen

    -36.59
    2

    Russell Impl. Svcs.

    -32.4
    3

    Gar Wood Securities

    -16.33
    4

    Goldman Sachs

    -15.55
    5

    WallachBeth Capital

    -12.87
    6

    J.P. Morgan

    -8.74
    7

    Susquehanna Financial

    -5.37
    8

    Agency Trading Group

    -4.89
    9

    Instinet

    -3.59
    10

    Guzman

    -0.62
     
    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, 2015. Source: Investment Technology Group.

    U.S. trading costs: Commissions and implementation shortfall

     
    Average spread and annualized volatility of S&P 500 constituents

    *2Q 2015 peer data are preliminary.

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