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when I using Bloomberg excel plugins to retrieve the ticks and compare with Reuter RDF data, for some UK equity stocks in same days, the number of ticks and sum of total value is difference, why will that happen?

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What do you mean with "some of total value"? You should also elaborate on the differences: e.g. is the RDF data generally more granular? Ultimately you should contact your data vendors to understand the exact nature of the data. –  Ryogi Apr 7 at 6:39
"sum of total value" mean sum of (trade price * trade price ) of every ticks are difference I thought it should be same, isn't it? All should from LSE, right? –  Carfield Yim Apr 7 at 7:12
I would not assume they are from LSE. They are from your data vendor and what you get exactly depends on your contract and the preprocessing that is performed on the raw data from LSE and the other venues where the shares are traded. Voted to close. –  Ryogi Apr 7 at 10:21

1 Answer 1

up vote 2 down vote accepted

Since MiFID 1 in Europe (you may have heard MiFID 2 has been recently adopted), all trades have to be reported somewhere.

Reporting channels are numerous:

  • regulated markets have in books and off the book reporting feeds
  • MTF have their own, sometimes one for their Lit book and the other for their Dark one
  • remaining OTC trades have been reported for long on Markit Boat, now the BATS reporting facility records most of them.

It means that depending to which feeds your provider (namely Bloomberg or Reuters) is connected, you will not see the same subset of trades. Moreover you have some options (for instance on Bloomberg), to decide to exclude OTC trades for instance; it means that depending on the profile you use to log yourself, you will not see the same data...

Here is a snapshot of one week of trading (via the fidessa fragulator, plugged on Markit Boat if I remember well):

enter image description here

you could miss a lot of data if you do not have all the feeds. Moreover there is potentially some double counting... An European consolidated tape should (or could) address all these points.

If you want more details, you show read Market Microstructure in Practice. With co-authors, we try to explain all these in detail ;{)}

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Thanks a lot for the information –  Carfield Yim May 21 at 10:21

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