Thomson Reuters Preps Real-Time EU Consolidated Tape

Thomson Reuters is preparing to roll out a real-time version of its .XT consolidated tape of European equities time and sales data, which will incorporate an expanded instrument coverage and standard trade flags recommended by an industry working group led by the Committee of European Securities Regulators (IMD, Oct. 18).

The existing .XT consolidated tape provides post-trade data from European exchanges, multilateral trading facilities and over-the-counter trade data from Trade Reporting Facilities such as Markit Boat, distributed on a 15-minute delayed basis. The solution currently covers around 1,800 stocks traded on multilateral trading facilities, although Thomson Reuters has recently expanded its scope to include roughly 6,500 stocks, as recommended by CESR.

The vendor has not yet set a date for launching a real-time version of .XT, and officials say this will be contingent on ongoing initiatives by European exchanges to unbundle real-time post-trade data as a standalone product, and to adopt a common set of trade identifiers or map their existing trade flags onto a common standard.

"The process [of standardizing trade identifiers] is being worked through the Federation of European Securities Exchanges, and we expect them to make an announcement by the end of this year," says Andrew Allwright, business manager for MiFID solutions at Thomson Reuters.

As exchanges, MTFs and OTC trade reporting venues adopt common trade identifiers to help ease the downstream data consolidation process, the vendor should see significant improvements in the quality of its consolidated tape data, Allwright says. "At the moment, you might have different types of trade on the feed that you might want to exclude from your analysis. If CESR's advice is followed, we will be able to overlay analytics to help end-users filter the consolidated tape in a more meaningful way," he adds.

Existing initiatives by exchanges to unbundle their post-trade data have also brought down the cost of real-time post-trade data significantly, Allwright says. "There is no additional cost for .XT from a Thomson Reuters perspective, and in terms of the underlying exchange and trade publication fees, a recent report by Atradia calculated that real-time last price data covering 95 percent of the trading activity in Europe is available for just €75 per user per month," he adds.

As a result, Allwright says he expects demand to increase as users combine pre-trade data from the specific venues included in their execution policies with a consolidated view of all post-trade data to gauge levels of trading activity across the market. "We are still mindful as to what are the real drivers and demand for a consolidated tape, but inevitably it is a fundamental principle of supply and demand economics that lowering the price of a given solution will trigger more demand for it," he adds.

However, in light of these ongoing industry-led initiatives to improve the quality and reduce the cost of consolidated European equity trade data-and with exchanges creating policies to increase transparency by licensing real-time data to retail investors at a significant discount or at no per-user charge-a mandated, utility-style consolidated tape would only create unnecessary and duplicative infrastructure costs, which would have to be borne by data consumers or through some form of industry levy, Allwright says, adding that neither is a palatable option in the current environment.

In addition, he says most institutional traders already access consolidated real-time data from trading venues relevant to their execution strategies, and to support this requirement, Thomson Reuters plans to release a customizable consolidated order book display as part of its newly released Eikon desktop terminal by year-end.