This study examines market quality in the ASX and Chi-X during macroeconomic news announcements. Market quality is measured in terms of liquidity, volatility, and price efficiency. Using a sample of 177 Australian companies, I document that market quality is generally higher in the ASX than in Chi-X on days with macroeconomic news announcements. Trading activity is higher while trading cost is lower. Information shocks have larger immediate impact but lower persistence in the ASX compared to Chi-X. The pattern of intraday serial dependence in returns also reveals that that order imbalances in the ASX have smaller impact than in Chi-X, indicating that the former offers greater price efficiency. These results imply that the ASX remains the preferred destination for traders who seek liquidity and cheaper trading options.