How would you make this switch statement as fast as possible?

Assuming every input will be a valid ActivCode, that you can change the enumeration values and highly coupled to the GetHashCode implementation:

enum MarketDataExchange
{
    NONE,
    NBBO = 371857150,
    AMEX = 372029405,
    BSE = 372029408,
    BATS = -1850320644,
    NSE = 372029407,
    CHX = -284236702,
    NYSE = 372029412,
    ARCA = -734575383,
    NASDAQ = 372029421,
    NASDAQ_ADF = -1137859911,
    CBOE = 372029419,
    PHLX = 372029430,
    DIRECTEDGE = 372029429
}

public static MarketDataExchange GetMarketDataExchange(string ActivCode)
{
    if (ActivCode == null) return MarketDataExchange.NONE;

    return (MarketDataExchange)ActivCode.GetHashCode();
}