Tradewatch for Q4 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 Dec. 31, 2018. Source: Elkins/McSherry, a State Street company.
All trading
Global brokers
RankBrokerDifference
1Robert W. Baird -56.42
2Wells Fargo Prime Svcs.-45.14
3ISI Group-40.86
4Nomura Securities-37.29
5Citigroup Global Mkts.-34.80
6Canaccord Genuity-34.59
7Oddo Securities-22.16
8Macquarie Securities-14.40
9Piper Jaffray-11.77
10Pictet-11.15
U.S. brokers
RankBrokerDifference
1Wells Fargo Prime Svcs.-34.50
2Cantor Fitzgerald-34.02
3Agency Trading Group-33.97
4ITG-31.05
5Gar Wood Securities-29.62
6Guzman-26.51
7BTIG-20.46
8FBN Securities-17.80
9Williams Capital-15.82
10Bank of New York-14.23
 
Trades by order size
Large orders: 50,000+ shares
 
RankBrokerDifference
1Agency Trading Group-55.83
2Guzman-47.69
3Morgan Stanley (MS)-32.29
4ITG-30.93
5BTIG-30.66
6Gar Wood Securities-21.59
7Jane Street Capital-9.85
8WallachBeth Capital-6.75
9BB&T Investment Serv-3.73
10Russell Impl. Svcs.-2.56
Medium orders: 10,000 - 50,000 shares
RankBrokerDifference
1Wells Fargo Prime Svcs.-47.31
2ITG-45.58
3Guzman-34.03
4Agency Trading Group-23.07
5BTIG-19.66
6Gar Wood Securities-18.29
7WallachBeth Capital-8.98
8Russell Impl. Svcs.-3.07
9Goldman Sachs0.91
10Sanford C. Bernstein5.37
Small orders: 10,000 shares
or less
RankBrokerDifference
1Guzman-23.44
2ITG-18.96
3Gar Wood Securities-16.23
4Agency Trading Group-14.43
5Credit Suisse-8.37
6RBC Capital Mkts.-7.37
7BTIG-5.73
8Russell Impl. Svcs.-4.48
9Bank of New York-4.18
10Weeden0.02
 
Trades by liquidity
0% - 20% of daily volume
RankBrokerDifference
1Knight Securities-38.32
2Guzman-35.14
3Citigroup Global Mkts.-31.89
4Agency Trading Group-30.91
5ITG-23.15
6BTIG-22.81
7Gar Wood Securities-15.52
8WallachBeth Capital-8.11
9Bank of New York-7.40
10Russell Impl. Svcs. -4.26
20% - 50% of daily volume
RankBrokerDifference
1Wells Fargo Prime Svcs.-26.62
2Gar Wood Securities-16.86
3BTIG-13.12
4J.P. Morgan-8.01
5WallachBeth Capital-5.90
6Bank of America-5.11
7Weeden-4.89
8Russell Impl. Svcs.1.69
9Guzman2.56
10Credit Suisse24.29
50%+ of daily volume
RankBrokerDifference
1Wells Fargo Prime Svcs.-142.18
2Gar Wood Securities-18.33
3Guzman-12.44
4BTIG-11.28
5Jane Street Capital-10.97
6WallachBeth Capital-9.04
7Bank of America-4.21
8Weeden-2.68
9J.P. Morgan-2.37
10Russell Impl. Svcs.-2.00
 
Trades by market cap
Giant cap
RankBrokerDifference
1ITG-45.12
2Guzman-42.34
3Citigroup Global Mkts.-37.28
4RBC Capital Mkts.-20.31
5Agency Trading Group-18.47
6Morgan Stanley-15.95
7Bank of New York-13.09
8Russell Impl. Svcs.-11.92
9Gar Wood Securities-10.46
10MKM Partners-8.17
Large cap
RankBrokerDifference
1Agency Trading Group-25.82
2Guzman-22.18
3BTIG-18.75
4Gar Wood Securities-17.87
5Bank of New York-17.82
6MKM Partners-16.70
7Lehman Brothers-14.53
8ITG-11.87
9WallachBeth Capital-10.24
10Knight Securities-7.25
Midcap
RankBrokerDifference
1Knight Securities-31.67
2Agency Trading Group-30.30
3ITG-30.16
4Morgan Stanley-28.63
5Sanford C. Bernstein-21.42
6Gar Wood Securities-17.30
7Needham-15.56
8Goldman Sachs-14.14
9Raymond James-8.32
10BB&T Investment Svcs.-6.24
 
Small cap
RankBrokerDifference
1BTIG-48.36
2Knight Securities-47.08
3Gar Wood Securities-39.28
4Agency Trading Group-36.01
5Morgan Stanley-33.68
6Bank of America-23.74
7Bank of New York-22.23
8Wells Fargo Prime Svcs.-9.31
9Goldman Sachs-9.25
10RBC Capital Mkts.-8.74
Microcap
RankBrokerDifference
1Cowen-113.12
2Agency Trading Group-93.8
3Bank of New York-83.78
4Morgan Stanley-76.91
5BTIG-76.08
6Guzman-76.07
7Wells Fargo Prime Svcs.-73.06
8Jeffries-53.63
9Fox River-42.92
10Bank of America-37.66
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 Dec. 31, 2018. Source: Investment Technology Group.
U.S. trading costs: Commissions and implementation shortfall
Average spread and annualized volatility of S&P 500 constituents
*4Q 2018 peer data are preliminary.