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
1Macquarie Securities-37.38
2Robert W. Baird-30.69
3Guggenheim Partners-29.55
4State Street Global Mkts. -20.38
5Royal Bank Scotland-12.99
6Russell Impl. Svcs.-12.41
7BTIG-7.10
8Guzman-5.57
9Penserra Securities-4.39
10Citigroup Global Mkts.-3.53
U.S. brokers
RankBrokerDifference
1Agency Trading Group-32.40
2Gar Wood Securities-27.97
3ITG-27.36
4Wells Fargo Prime Svcs.-25.20
5Guzman-24.71
6Themis Trading -12.40
7BB&T Investment Svcs.-11.46
8Bank of New York-11.24
9Jane Street Capital-10.73
10Raymond James-9.79
 
Trades by order size
Large orders: 50,000+ shares
 
RankBrokerDifference
1Guzman-36.68
2BTIG-19.65
3Morgan Stanley (MS)-18.11
4Jane Street Capital-11.51
5WallachBeth Capital-6.77
6Jeffries-2.58
7Russell Impl. Svcs.-2.56
8Bank of America-2.14
9BB&T Investment Svcs.-2.02
10Sanford C. Bernstein1.13
Medium orders: 10,000 - 50,000 shares
RankBrokerDifference
1ITG-39.21
2Wells Fargo Prime Svcs.-38.05
3Guzman-27.87
4BTIG-11.41
5Goldman Sachs-7.65
6BB&T Investment Svcs.-4.69
7Russell Impl. Svcs.-3.07
8Sanford C. Bernstein3.89
9Bank of America4.20
10Weeden8.22
Small orders: 10,000 shares
or less
RankBrokerDifference
1Guzman-19.48
2Gar Wood Securities-15.97
3ITG-13.05
4Credit Suisse-6.36
5Russell Impl. Svcs.-4.48
6Bank of New York-3.89
7Goldman Sachs-3.20
8BTIG-2.61
9Bank of America1.06
10Weeden2.72
 
Trades by liquidity
0% - 20% of daily volume
RankBrokerDifference
1Citigroup Global Mkts.-30.58
2Guzman-28.19
3Agency Trading Group-25.98
4ITG-16.55
5BTIG-15.43
6Gar Wood Securities-13.81
7WallachBeth Capital-8.08
8Russell Impl. Svcs.-4.26
9Bank of New York-4.19
10Sanford C. Bernstein-1.14
20% - 50% of daily volume
RankBrokerDifference
1Wells Fargo Prime Svcs.-20.07
2Gar Wood Securities-14.63
3BTIG-10.41
4WallachBeth Capital-8.64
5J.P. Morgan-4.76
6Bank of America-4.12
7Weeden-0.77
8Guzman0.23
9Russell Impl. Svcs.1.69
10Credit Suisse7.02
50%+ of daily volume
RankBrokerDifference
1J.P. Morgan-27.62
2Gar Wood Securities-16.99
3BTIG-12.25
4Guzman-12.21
5Jane Street Capital-11.82
6Goldman Sachs-11.01
7WallachBeth Capital-7.74
8Weeden-6.58
9Bank of America-5.86
10Russell Impl. Svcs.-2
 
Trades by market cap
Giant cap
RankBrokerDifference
1J.P. Morgan-27.62
2Gar Wood Securities-16.99
3BTIG-12.25
4Guzman-12.21
5Jane Street Capital-11.82
6Goldman Sachs-11.01
7WallachBeth Capital-7.74
8Weeden-6.58
9Bank of America-5.86
10Russell Impl. Svcs.-2.00
Large cap
RankBrokerDifference
1Susquehanna-35.66
2Agency Trading Group-25.17
3Guzman-19.08
4MKM Partners-16.70
5Gar Wood Securities-16.32
6BTIG-15.36
7Citigroup Global Mkts.-11.62
8Bank of New York-10.99
9WallachBeth Capital-10.90
10ITG-9.46
Midcap
RankBrokerDifference
1Agency Trading Group-36.33
2ITG-24.54
3Sanford C. Bernstein-19.68
4Morgan Stanley-18.23
5Robert W. Baird-17.62
6Gar Wood Securities-17.50
7WallachBeth Capital-11.42
8Jane Street Capital-8.60
9Themis Trading-7.80
10BTIG-6.85
 
Small cap
RankBrokerDifference
1FBN Securities-69.30
2Agency Trading Group-36.33
3ITG-24.54
4Sanford C. Bernstein-19.68
5Morgan Stanley-18.23
6Robert W. Baird-17.62
7Gar Wood Securities-17.50
8Jane Street Capital-17.36
9ISI Group-14.53
10CAPIS-11.75
Microcap
RankBrokerDifference
1Gar Wood Securities-37.33
2Agency Trading Group-31.33
3Morgan Stanley-30.58
4BTIG-23.88
5Bank of America-22.32
6Guzman-11.83
7BB&T Investment Svcs.-7.30
8Jane Street Capital-6.77
9Sanford C. Bernstein-5.31
10Russell 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.