EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/14.II.3:14.II.3 Type of equity pre- and post-trade data

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/14.II.3

14.II.3 Type of equity pre- and post-trade data

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Another key variable of the data price concerns the type of equity pre- and post-trade data that is provided. As examined in previous chapters, main types of equity pre- and post-trade data include: (a) the content (pre- and/or post-trade data), (b) depth/volume (size attached to the content), (c) latency (speed of the data), (d) matching system (e.g. quote-driven versus periodic auction), and (e) the data coverage, being the markets, products (e.g. all shares on a given venue), and amount of venues included.1 In addition, a fairly new distinction is also whether the type of equity pre- and post-trade data is display or non-display data.2 Different definition of this distinction are possible. As used in this research, display data refers to data that can is displayed (and can be read) by a human, whilst non-display data is not (cannot be read by a human or at least not easily). Non-display data is of particular relevance for algorithmic trading, a practice that emerged in the past decades.3

As a general rule, the faster and more comprehensive the equity pre- and post-trade data is, the more expensive the data will be.4 ‘As a general rule’, since sometimes (relatively) fast and comprehensive data is made available for free. Consider, for example, a member of an MTF that has free of charge access to the MTF equity pre- and post-trade data as part of the MTF membership (‘free of charge data’ as a marketing tool).5 Another example is where a retail investor has free access to real-time data as redistributed by its investment firm6 or an affiliated data vendor.7 That being said, the ‘free of charge data’ is compensated through another fee structure (e.g. membership fees of an MTF) or might be limited in detail (e.g. only real-time equity pre- and post-trade data for a few trading platforms).8

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Source ESMA 2014 Final Report. Overview of equity pre- and post-trade data products. The data products – and the related price – differ depending on elements, such as the content, latency, use (e.g. internal only), head count and/or market coverage.9

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