Data vendor Thomson Reuters has claimed that it has finally created a consolidated source of post-trade data that meets the requirements of both market participants and regulators.
Thomson Reuters will develop its new consolidated tape product over the next 12 months, so that it is ready to meet expected revisions to MiFID that are anticipated to come into force by 2012.
The new data solution will be made available for free via Thomson Reuters' Eikon desktop and Elektron trading and data distribution network, and will also use an open architecture model, which means it can be used by third-party resellers.
“While MiFID required firms to publish trades, it stopped short of giving any guidance or rules around what should and shouldn't be reported or how to maintain data quality,” Andy Allwright, business manager, MiFID solutions at Thomson Reuters. “Our view is that the CESR technical advice on post-trade reporting covers these issues, and our solution is based on these changes taking place.”
Since MiFID introduced fragmentation of European liquidity in 2007, buy-side firms have bemoaned the lack of a single source of post-trade data. Without a consolidated tape, buy-side firms are unable to benchmark execution performance or base investment decisions on accurate source of data.
Regulators have since tried to step in, urging the industry to come up with its own solution, or risk having one imposed upon them.
In a technical advice paper based on an industry consultation sent to the European Commission by the regulatory body Committee of European Securities Regulators (CESR) in July, stricter guidelines to help improve the quality of post-trade data were proposed. This included the creation of Approved Publication Arrangements, entities that would be responsible for cleaning data to an appropriate standard for consolidation.
The technical advice was followed up in another paper issued last month by CESR, which aims to coordinate securities regulation across Europe. This suggested the creation of seven different flags that would be used to identify different types of trades in post-trade data, to ensure that market participants only include data that is relevant to them in trade analysis.
According to Thomson Reuters, its new solution anticipates the adoption of CESR's trading flags and will offer data on 6,436 stocks recognised by CESR as “shares admitted for trading on EU regulated markets”, as per the regulator's first set of technical advice on creating a post-trade tape.
The data vendor has also said that commitments from domestic European exchanges such as the London Stock Exchange (LSE) and Deutsche Börse to unbundle their pre- and post-trade data has helped drive the cost of creating a consolidated tape to an acceptable level.
A study from consultancy Atradia published in August this year noted that the cost of creating a consolidated tape comprising data from the five biggest European exchanges – LSE, Deutsche Börse, Nasdaq OMX Nordic, NYSE Euronext and the Bolsas y Mercados Españoles – and all MTFs, which already supply their level one data for free, would fall to around €75 per year once data is unbundled, compared to around €200 previously.
By comparison, Atradia's study puts the cost of the US consolidated tape at around US$90 (€63.70).
Thomson Reuters' new product will complement its existing post-trade data product, which offers consolidated data on a 15-minute delayed basis on around 1,800 European stocks.
Allwright predicts that when implemented, the new regulatory standards for post-trade data will also help to stimulate demand for its delayed basis product, which he thinks will be particularly useful for traditional buy-side traders.
“Once we have implemented the new standards for our European post-trade data products, we think that the majority of market participants, particularly those that use data for best execution analysis, will use the 15-minute delayed data,” said Allwright.
In addition to post-trade reporting, Thomson Reuters also plans to launch a Blended Order Book product next month that will enable market participants to create a customised list of pre-trade quote data delivered over a standardised Thomson Reuters interface. There will also be the option for the Blended Order Book to be powered by direct feeds from exchanges and MTFs and delivered through Elektron, for clients looking for data at low latency.