Susquehanna (SIG) edged ahead of Hudson River Trading (HRT), as the six main market makers delivered US$570 million of price improvement versus total market improvement of US$956 million.
Median E/Q Spread Ratio Over Time
In October, Susquehanna benefited from its specialisation in lower-priced speculative retail names while on a notional weighted basis Citadel Securities – the largest retail market maker – regained its best execution status with a median E/Q at 0.445.
Global Trading’s Rule 605 dataset, analyzed concurrently to the trades on the lit continuous market on the Securities Information Processor (SIP), using BMLL Data Lab, shows that the six largest retail market makers – Citadel Securities, Virtu, Susquehanna, Hudson River Trading, Jane Street and Two Sigma Securities – delivered US$570.0 million of price improvement to US retail investors in October on 98.1 billion securities traded. On our “All trades” lit-market proxy (all SIP-reported continuous trades with a live, unlocked NBBO), October volumes reached 170.8 billion shares, generating US$956.5 million of price improvement versus the NBBO.
On a per-share basis, this corresponds to around 0.58 cent of price improvement per share for the market makers versus about 0.56 cent for the lit-market proxy, confirming that retail internalisers continued to provide better economics than the average lit execution, even as the gap narrowed. In September, market makers delivered 0.55 cent per share against about 0.49 cent for the lit proxy. October’s figures therefore represent an increase of around 29% in wholesaler share volume and 35% in aggregate wholesaler price improvement versus September, while the lit proxy saw volumes rise by about 27% and aggregate price improvement climb by 45%. On a per-share basis, price improvement rose by about 6% for market makers and more than 14% for the lit market.
Measured by Global Trading’s standard E/Q ratio – the realised spread versus the prevailing NBBO spread, where 0 indicates a trade at the mid-price and 1 a trade at the quote – Susquehanna moved into a clear first place on October’s share-weighted median. SIG’s median E/Q improved from 0.295 in September to 0.275 in October, with 68.0% of its executed shares landing in the sub-0.40 E/Q region that we classify as “near mid”. HRT remained very close behind, with a median E/Q of around 0.325 and 71.7% of its volume is executed at E/Q below 0.40. For both firms, the bulk of trading still occurs close to mid-price, well ahead of both the other market makers and the lit-market proxy, whose median E/Q remained around 1.005 with just under 21% of volume in the sub-0.40 bucket.
Across the rest of the group, Citadel Securities’ share-weighted median E/Q moved from 0.48 in September to 0.525 in October, but its share of near-mid executions remained broadly stable at around 35.6% of volume. Virtu’s median E/Q ticked up from 0.53 to 0.535, while its proportion of volume with E/Q under 0.40 declined more noticeably, from the mid-20s to 18.2%. Jane Street and Two Sigma both saw their median E/Qs improve: Jane Street moved from 0.56 in September to 0.505 in October, and Two Sigma from around 0.46 to 0.435. Their respective shares of “near-mid” volume remained relatively modest, at around 17% for Jane Street and just under 40% for Two Sigma.
In absolute price-improvement terms, Citadel Securities remained by some distance the largest retail execution venue. It provided retail traders US$196.8 million of price improvement on 37.6 billion securities traded in October, up from US$137.3 million on 28.9 billion securities in September. That equates to increases of 30% in share volume and more than 43% in delivered price improvement month on month, lifting Citadel’s per-share price improvement from 0.48 cent to 0.52 cent.
Virtu is still the second largest wholesaler by volume, with October price improvement of US$103.9 million on 19.9 billion securities traded, compared with US$85.9 million on 16.8 billion securities in September. Its aggregate price improvement rose by just over 20% month on month and its volume by a similar amount, leaving its per-share price improvement broadly stable, at 0.52 cent in October versus 0.51 cent in September.
Susquehanna and Hudson River Trading continued to lead on execution quality, while also growing volumes strongly. Susquehanna delivered around US$88.8 million of price improvement in October on 11.4 billion shares, up from US$73.4 million on 10.1 billion shares in September. Its per-share price improvement increased from 0.73 cent to 0.78 cent, the highest figure in the six-firm universe. HRT provided US$97.4 million of price improvement on 15.0 billion shares, versus US$73.6 million on 11.0 billion shares in September – a rise of more than 36% in share volume and 32% in price improvement. On a per-share basis, HRT’s price improvement eased slightly from 0.67 cent to 0.65 cent, but it remained one of the top two performers when combining price improvement and E/Q metrics.
As explained in our previous coverage, these share weighted execution quality beating results are a result of the mix of securities traded and order types. In October Susquehanna had particular success filling orders in BigBear.ai Holdings and Ford. Also HRT top 5 traded shares was very similar we assume the gap would have been created in similar retail driven smaller dollar value stocks.
Read more: HRT and SIG execution quality steady in busier September market
Jane Street and Two Sigma again rounded out the group, but both saw significant gains in activity and price improvement. Jane Street in particular delivered around US$57.6 million of price improvement on 9.9 billion shares, up from US$36.8 million on 7.0 billion shares in September. That equates to an increase of more than 40% in share volume and over 55% in price improvement, lifting per-share price improvement from 0.53 cent to 0.58 cent and bringing its median E/Q closer to the middle of the pack. Two Sigma’s totals rose from US$15.4 million on 2.6 billion shares in September to US$25.4 million on 4.3 billion shares in October, with both volume and price improvement growing by around 65%. Its per-share price improvement remained just under 0.60 cent and its median E/Q improved to 0.435, with close to 40% of its flow in the “near-mid” region.
The order-type breakdown for October confirms further that market makers’ specialisation by flow type and typical ticket size remains largely intact. Susquehanna and HRT continue to be the most market-order-heavy firms in the sample. For SIG, around 78% of October retail tickets and 77% of executed shares were market orders, with a further 17% of orders and 21% of volume coming from marketable limit orders. HRT had 61% of orders and 70% of executed shares as market orders, plus 13% of orders and 18% of shares as marketable limits. This mix, heavily skewed towards immediate, liquidity-taking instructions, remains closely aligned with their very low median E/Qs and high shares of near-mid executions.
Citadel Securities and Virtu again showed more balanced configurations. For Citadel, 30% of tickets were market orders and 34% were marketable limit orders in October; yet in share-weighted terms, market orders generated around 55% of executed volume and marketable limit orders 33%. Virtu’s ticket mix was dominated by marketable limit orders, which represented just over 43% of orders compared with 31% for market orders, but market orders still accounted for 58% of executed shares. In both cases, a modest but meaningful proportion of orders and shares were filled via inside-NBBO or at-the-quote limit orders, contributing additional price improvement and reflecting routing choices by retail brokers.
Jane Street and Two Sigma’s order-type profiles remain the most differentiated from the group. Jane Street still has the highest proportion of inside-NBBO limit activity, with inside-quote limits representing close to 30% of tickets and 9% of executed shares, while marketable limits and market orders split the rest of its volume at 40% and 48% respectively. Two Sigma’s executed volume in October was again more heavily concentrated in market orders, at around two-thirds of shares, but its ticket mix remained skewed towards marketable limits, which represented close to 45% of all orders.
October’s data also reinforce the size specialisation observed in earlier months. Taking total executed shares divided by the number of orders as a proxy, SIG and HRT once more handled the largest average retail tickets in the group, at 1,090 and 975 shares per order respectively. Citadel Securities and Virtu sat in the middle of the distribution, with average order sizes of 566 and 511 shares, while Jane Street and Two Sigma remained at the smaller-ticket end, with average executed order sizes of 307 and 365 shares.
On the E/Q chart, the October dataset also shows a clear divergence between the median E/Q when share-weighted, which is derived directly from the raw Rule 605 disclosures, and the notional-weighted view, where we apply a monthly VWAP to each security traded by the market makers. When notional-weighted, the execution-quality advantage of HRT and Susquehanna over Citadel Securities disappears entirely: Citadel’s notional-weighted median E/Q is 0.45, compared with 0.48 for SIG and 0.50 for HRT.
The two largest notional traded stocks for HRT, SIG and Citadel Securities were TSLA and NVDA. In Tesla they traded approximately and respectively US45bn, $37bn and $103bn but Citadel execution was much better at an E/Q of 0.499, versus 0.62 for Susquehanna and 0.60 for HRT. This was also the case in Nvidia.
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605 disclosures contain these aggregate measures per order type and order size, as well as tickers and volume. For price we use our monthly calculated volume weighted average price (VWAP) per ticker from the ‘all trades’ proxy sourced and constructed on BMML Data Lab.
Our lit market proxy looks at all the securities information processor’s trades within the month, as long as the bid and offer have been updated within 10 seconds of a trade, and the quotes are not locked or crossed.
