In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf.
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x
in the section dedicated to data cleaning the authors suggest:
Retain entries originating from a single exchange (NYSE in our application).
Delete other entries.
It is related to both Trades and Quotes data.
Why shouldn't we consider the data from other exchanges?