10.III.1 Consolidated tape

A central concept with respect to the consolidation of post-trade information is the so-called ‘consolidated tape’. The Commission defines a consolidated tape as follows:

The interpretation of the Commission is not entirely clear, but the reference to ‘sales’ suggests that reference is made to post-trade information (completed trades) only. Such a reading would correspond with the etymology of the term ‘consolidated tape’, which stems from the way post-trade data used to be collected. Before electronic trading a paper role (‘tape’) was used to ‘tick’ post-trade information concerning financial instruments in a paper role (a so-called ‘ticker tape’). The ticker tape enabled only to see the prices of completed trades (post-trade information). Pre-trade information was not included in the ticker tape.2 The collection of post-trade information from multiple ticker tapes was referred to as a ‘consolidated tape’.3

The foregoing does not take away that the term ‘consolidated tape’ is nowadays also used in a broader sense, that is – for consolidated pre- and/or post-trade data.4 This interpretation is, however, harder to align with the MiFID II text. MiFID II introduces a definition of so-called Consolidated Tape Providers (CTPs). MiFID II makes clear that the definition of a Consolidated Tape Provider is the consolidation of equity post-trade data.5 Consolidation of equity pre-trade is permitted as an additional service, but not a defining activity.6 For these reasons, this research considers the constituting element of a consolidated tape to be consolidated post-trade data. The definition used in the research does not exclude a consolidated tape from collecting and publishing pre-trade information, but that is not what makes it a consolidated tape.

Example of a consolidated tape (in this case for Vodafone Group).7The consolidated tape of this example shows, among other things, the venue (e.g. ‘TRQ’ is the platform Turquoise), price, volume, turnover, and volume weighted average price (VWAP) on/at which Vodafone Group is traded on a given day and time. Other relevant aspects for trading, such as the standard deviation (relevant to determine the amount of risk/volatility), are also included in this consolidated tape.

Source CESR. Simplified overview from trading to consolidation: (1) trading, (2) publication, (3) dissemination, and (4) consolidation.8Publication is the situation where the equity pre- and post-trade data is put into a database. Dissemination refers to making the database accessible (e.g. an end-user that uses a standard Internet connection to access the database).