Two market data solutions have been launched to improve transparency in Europe’s fragmented equity markets in the absence of a US-style consolidated tape.
Thomson Reuters, a data provider, will allow its customers access to all best bid and offer (BBO) data for the 1200 most liquid listed European equities. The firm’s new product offering consists of its existing .xbo (consolidated best bid and offer) and .xt (consolidated trade tape) feeds, but excludes over-the-counter trades.
Meanwhile, independent software vendor Skyler Technology and market data and trading connectivity provider Fixnetix have combined their low-latency data products to create a European consolidated quote feed and aggregated full-depth order book feed, targeted at high-frequency and algorithmic traders.
To ensure low latency, Fixnetix and Skyler’s joint offering collates European market data at one of Fixnetix’s European data centres – depending on the location of the client and the exchanges on which it trades – before sending the consolidated data to the client.
“Without an optimal latency solution to manage the flow of data into their smart order routers, firms could send orders to the wrong place and hit orders that are not representative of the best execution price,” commented Alasdair Moore, head of business development and co-founder of Fixnetix. “This could lead to slippage and gaming if they use a bad feed.”
For a full picture of European liquidity, Thomson Reuters customers will still have to pay the data fees of incumbent exchanges, as well as a €10 per user per month fee. Most new alternative trading venues, e.g. Chi-X, Turquoise and BATS Europe, do not charge for market data.
“We see this product as a big step towards solving the consolidated tape issue,” Andrew Allwright, business manager of MiFID solutions, Thomson Reuters, told thetradenews.com. “Now we have the technical delivery in place, the next step is to devise a commercial solution similar to the US where the costs of consolidating data are not so high.”
Thomson Reuters has also launched a separate Equity Market Share Reporter (EMSR) product, which will allow firms to analyse historical tick-by-tick trading activity across European venues.
Buy-side traders have asserted that establishing an accurate picture of Europe’s increasingly fragmented markets is difficult and expensive without a consolidated price and post-trade date source and that execution quality has deteriorated due to reduced market visibility. Although the problem has been well documented, European regulators so far have resisted enforcing a solution on the market. In the US, a single price source consolidates data across all exchanges.
“Both buy- and sell-side firms urgently require this aggregated and consolidated view to power their pan-European trading activities,” said Valerie Bannert-Thurner, managing director of Skyler Europe.