2.IV Different pre-trade data needs

The variables of pre-trade data have different weight depending on the data user. Whilst a so-called high frequency trader may require low-latency of a full order book,1 a retail investor may only want to view a partial order book of one or a few venues on which a financial instrument is traded in real-time.2 When discussing different data needs, one must also take into account that financial markets continuously evolve. Equity trading has in the past decades shifted from so-called open outcry markets3 (also: oral/floor markets)4 to mainly electronic markets.5 Electronic markets enable faster publication of pre-trade data compared to open outcry markets.6 That being said, open outcry markets allow participants to observe other traders and interpret subtle cues like impatience and nervousness, as well as to voluntarily share information about their clients. The latter is harder in electronic markets where there is more anonymity.7 In other words, the shift from open outcry to electronic markets resulted in a more data-driven trading environment. The observation of human interaction as apparent on a floor market has been reduced. The result has been an increase in data demand over the past decades.8

The changes in the equity markets have also resulted in different data needs. Speed has over the past decades become a main driver in trading, including fast access to pre-trade information. Order sizes have also been reduced due to technological innovation. Technological development has made it possible to ‘slice’ larger orders (‘parent orders’) in smaller orders (‘child orders’).9 So-called smart order routing systems enable to route the child orders across multiple venues in order to reduce market impact.10 Pre-trade data from multiple markets has become more important to route such child orders adequately.11