By Chris Kentouris
Thomson Reuters launched an enhanced data feed for pan-European securities as it seeks to meet the demands of traders concerned with the high costs and lack of transparency that have emerged in the wake of the Markets in Financial Instruments Directive (MiFID).
MiFID, in effect since November 2007, "has created market fragmentation and exposed the need for an independent consolidated tape and best-execution tools," said Steve Wilson, global head of exchange-traded instruments at Thomson Reuters, in a statement. The company says its new feed will aggregate prices across multiple exchanges and multilateral trading facilities (MTFs). Available as of January 19, the feed offers access to best-bid-and-offer data and historical tick data for the most liquid European equities.
The news and data supplier also announced Equity Market Share Reporter (EMSR), an analytical tool that lets firms validate their choice of trading venues and establish an execution policy, as required under MiFID. Slated to roll out next month, EMSR will be available for a monthly fee of GBP2,000 ($2,744) for five concurrent users.
The consolidated feed can be accessed in real time through .xbo, a new Reuters instrument code, or with a two-hour delay via .xt. Andrew Allwright, business and products manager at the company, said that the feed will be more cost-effective than .x, its existing RIC, because it separates over-the-counter trades and data from other venues. "We had large sell-side firms using our consolidated data feed, but smaller brokers and buy-side firms found it too expensive," said Allwright. "We decided to strip the OTC content and brought the price down to an acceptable level." Subscribers pay a monthly EUR10 ($12.9) per-user charge for either feed, although both can be purchased for the same cost.
The .xbo feed includes real-time prices from the major European exchanges and other venues that operate central limit order books, including BATS Europe, Chi-X Europe and Turquoise. The .xt RIC includes data from Markit Boat, Investment Technology Groups Posit, Liquidnet and the OTC trade reporting services offered by the exchanges, said Allwright.
The proliferation of European trading platforms over the last year has led to late and duplicative reporting, which can make it difficult for a firm to know whether it is complying with MiFID. The U.K.s Investment Management Association (IMA) last month called for the creation of a consolidated tape to improve the quality of information available to the buy side. A spokesperson for the IMA declined to comment on the new Thomson Reuters service.
Reporting errors not only affect traders, but also another aspect of buy-side operations that has become a critical element of MiFID compliance--transaction cost analysis (TCA). Providers of TCA rely heavily on accurate market data to benchmark how a firm stacks up against its peer groups and the market in general.
Hirander Misra, COO of London-based trading platform Chi-X Europe, operated by Instinet subsidiary Chi-X Global, praised the Thomson Reuters service but said that more industry collaboration was needed to ensure common data standards. "Vendors should be allowed to create their own products but the data needs to be usable by the wider community," he said. "Standards should include how data is displayed and sourced and what methodology should be used for volume-weighted average price." In October, Chi-X, Nasdaq OMX Europe and BATS Europe formed a working group to create a uniform symbology for European equities.
This article was originally published on securitiesindustry.com.
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