Tradewatch for Q3 2018

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 Sept. 30, 2018. Source: Elkins/McSherry, a State Street company.
All trading

Global brokers
RankBrokerDifference
1

Macquarie Securities

-37.38
2

Robert W. Baird

-30.69
3

Guggenheim Partners

-29.55
4

State Street Global Mkts.

-20.38
5

Royal Bank Scotland

-12.99
6

Russell Impl. Svcs.

-12.41
7

BTIG

-7.10
8

Guzman

-5.57
9

Penserra Securities

-4.39
10

Citigroup Global Mkts.

-3.53

U.S. brokers
RankBrokerDifference
1

Agency Trading Group

-32.40
2

Gar Wood Securities

-27.97
3

ITG

-27.36
4

Wells Fargo Prime Svcs.

-25.20
5

Guzman

-24.71
6

Themis Trading

-12.40
7

BB&T Investment Svcs.

-11.46
8

Bank of New York

-11.24
9

Jane Street Capital

-10.73
10

Raymond James

-9.79
 
Trades by order size

Large orders: 50,000+ shares

 

RankBrokerDifference
1

Guzman

-36.68
2

BTIG

-19.65
3

Morgan Stanley

-18.11
4

Jane Street Capital

-11.51
5

WallachBeth Capital

-6.77
6

Jeffries

-2.58
7

Russell Impl. Svcs.

-2.56
8

Bank of America

-2.14
9

BB&T Investment Svcs.

-2.02
10

Sanford C. Bernstein

1.13

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

ITG

-39.21
2

Wells Fargo Prime Svcs.

-38.05
3

Guzman

-27.87
4

BTIG

-11.41
5

Goldman Sachs

-7.65
6

BB&T Investment Svcs.

-4.69
7

Russell Impl. Svcs.

-3.07
8

Sanford C. Bernstein

3.89
9

Bank of America

4.20
10

Weeden

8.22

Small orders: 10,000 shares

or less

RankBrokerDifference
1

Guzman

-19.48
2

Gar Wood Securities

-15.97
3

ITG

-13.05
4

Credit Suisse

-6.36
5

Russell Impl. Svcs.

-4.48
6

Bank of New York

-3.89
7

Goldman Sachs

-3.20
8

BTIG

-2.61
9

Bank of America

1.06
10

Weeden

2.72
 
Trades by liquidity

0% - 20% of daily volume
RankBrokerDifference
1

Citigroup Global Mkts.

-30.58
2

Guzman

-28.19
3

Agency Trading Group

-25.98
4

ITG

-16.55
5

BTIG

-15.43
6

Gar Wood Securities

-13.81
7

WallachBeth Capital

-8.08
8

Russell Impl. Svcs.

-4.26
9

Bank of New York

-4.19
10

Sanford C. Bernstein

-1.14

20% - 50% of daily volume
RankBrokerDifference
1

Wells Fargo Prime Svcs.

-20.07
2

Gar Wood Securities

-14.63
3

BTIG

-10.41
4

WallachBeth Capital

-8.64
5

J.P. Morgan

-4.76
6

Bank of America

-4.12
7

Weeden

-0.77
8

Guzman

0.23
9

Russell Impl. Svcs.

1.69
10

Credit Suisse

7.02

50%+ of daily volume
RankBrokerDifference
1

J.P. Morgan

-27.62
2

Gar Wood Securities

-16.99
3

BTIG

-12.25
4

Guzman

-12.21
5

Jane Street Capital

-11.82
6

Goldman Sachs

-11.01
7

WallachBeth Capital

-7.74
8

Weeden

-6.58
9

Bank of America

-5.86
10

Russell Impl. Svcs.

-2
 
Trades by market cap

Giant cap
RankBrokerDifference
1

J.P. Morgan

-27.62
2

Gar Wood Securities

-16.99
3

BTIG

-12.25
4

Guzman

-12.21
5

Jane Street Capital

-11.82
6

Goldman Sachs

-11.01
7

WallachBeth Capital

-7.74
8

Weeden

-6.58
9

Bank of America

-5.86
10

Russell Impl. Svcs.

-2.00

Large cap
RankBrokerDifference
1

Susquehanna

-35.66
2

Agency Trading Group

-25.17
3

Guzman

-19.08
4

MKM Partners

-16.70
5

Gar Wood Securities

-16.32
6

BTIG

-15.36
7

Citigroup Global Mkts.

-11.62
8

Bank of New York

-10.99
9

WallachBeth Capital

-10.90
10

ITG

-9.46

Midcap
RankBrokerDifference
1

Agency Trading Group

-36.33
2

ITG

-24.54
3

Sanford C. Bernstein

-19.68
4

Morgan Stanley

-18.23
5

Robert W. Baird

-17.62
6

Gar Wood Securities

-17.50
7

WallachBeth Capital

-11.42
8

Jane Street Capital

-8.60
9

Themis Trading

-7.80
10

BTIG

-6.85
 

Small cap
RankBrokerDifference
1

FBN Securities

-69.30
2

Agency Trading Group

-36.33
3

ITG

-24.54
4

Sanford C. Bernstein

-19.68
5

Morgan Stanley

-18.23
6

Robert W. Baird

-17.62
7

Gar Wood Securities

-17.50
8

Jane Street Capital

-17.36
9

ISI Group

-14.53
10

CAPIS

-11.75

Microcap
RankBrokerDifference
1

Gar Wood Securities

-37.33
2

Agency Trading Group

-31.33
3

Morgan Stanley

-30.58
4

BTIG

-23.88
5

Bank of America

-22.32
6

Guzman

-11.83
7

BB&T Investment Svcs.

-7.30
8

Jane Street Capital

-6.77
9

Sanford C. Bernstein

-5.31
10

Russell Impl. Svcs.

-3.33
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 Sept. 30, 2018. Source: Investment Technology Group.

U.S. trading costs: Commissions and implementation shortfall

Average spread and annualized volatility of S&P 500 constituents

*3Q 2018 peer data are preliminary.

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