Data vendors close to resolving LSE bid/ask data issue

Data vendors have indicated that they hope to resolve problems that have affected the delivery of bid and ask data from the London Stock Exchange by tomorrow.
By None

Data vendors have indicated that they hope to resolve problems that have affected the delivery of bid and ask data from the London Stock Exchange (LSE) by tomorrow.

The issues surfaced soon after the LSE's migration to its new Millennium Exchange trading platform on Monday 14 February.

“Unfortunately a couple of market data vendors have been unable to ensure that their systems are ready to align to the new Millennium Exchange platform and we are actively working with them to help resolve their issues,” read a statement sent by the LSE last Thursday.

Traders that source data through the terminals supplied by Thomson Reuters, Interactive Data and SIX Telekurs have said that some bid and ask quotes are intermittently displayed as zeros. Neither the LSE or data vendors were able to clarify how many instruments have been affected.

Only terminals that deliver data using the FIX protocol are believed to be affected, with those using ITCH and other protocols not thought to be impacted at all. Bloomberg and Fidessa are among those that disseminate data using ITCH, while Thomson Reuters and Interactive Data use both ITCH and FIX.

Thomson Reuters said it had been in contact with a number of other data vendors as they each try to resolve the situation. The vendors impacted are currently testing potential solutions and Thomson Reuters said it hopes to have a fix in place by early tomorrow. Interactive Data said it was working with the LSE and its clients and was “close” to finalising a solution, but declined to give an exact time for a resolution to the issue.

“SIX Telekurs have been working closely with the LSE to prepare our systems in view of their migration to the Millennium IT platform,” read a statement from SIX Telekurs. “In common with other vendors, this has not been without its challenges. This has been an industry wide event and we continue to work closely with the LSE to resolve issues with the bid/offer prices following their rollout of their new platform.”

However, the extent of the LSE's involvement is still unclear. While Thomson Reuters said in a statement that “the London Stock Exchange team is currently working to introduce a permanent fix to the bid/ask issue”, the LSE has firmly denied this.

A number of brokers have told that the data they use to execute orders – both algorithmically and on sales trading desks – is sourced directly from exchanges and normalised using third-party or proprietary applications. The data delivered by vendors' terminals is used by some brokers purely as a back-up source and does not typically feed execution algorithms.

One broker at a bulge bracket firm added that his firm would stop trading on the affected market and contact the exchange if any problems were detected with data feeds.

But some proprietary trading firms without the capabilities to compile and standardise exchange data may experience some difficulties when trading.

The LSE’s migration to Millennium Exchange had originally been scheduled for last October. But Turquoise, the multilateral trading

facility operated by the LSE, experienced an outage on 5 October, the second day of its operation on Millennium Exchange, causing the exchange to review its overall migration timetable.