Tick data management specialist OneMarketData has released a European Composite Trade & Quote (ECTQ) Database, which aggregates data from 33 exchanges, multilateral trading facilities (MTFs) and dark pools. The offering is aimed at providing financial institutions with the data they need to perform transaction cost analysis (TCA) in support of the best execution and other regulatory obligations.
The new database covers some 18,000 entities whose securities trade on more than one venue. The service – delivered via OMD’s OneTick and OneTickCloud platforms – provide access to historical data from May 1, 2018, and current day’s composite data prior to the following days’ market open (T+1). Data can be accessed either on a per-ISIN basis or subscription to the all-ISIN universe.
According to Jeff Banker, senior vice president at OMD, the launch aims to ease the data collection infrastructure burden for financial institutions posed by the “significantly increased market volumes and message rates” resulting from recent market volatility. “ECTQ consolidates these sources and enables clients to access just the data they need, without the significant overhead associated with maintaining their own tick data infrastructure, reference data and high performance time series database,” he says.
According to OMD, the ECTQ service provides a range of functions, including:
- Symbol mapping – ISINs are mapped to historical and current symbols that trade across multiple venues, and data can be provided in either the trading or base currency.
- Adjustment factors – Composite trades can be delivered adjusted or unadjusted, for current and historical data.
- Data aggregation – ECTQ includes a daily storage universe of venues in excess of 40GB, which is required to identify and compute composite data, and over 20TB to store the data for a 24- month period.
- Timestamps – All trades are ordered by exchange matching engine timestamp using OneTick’s cloud server aggregation technology, and published timestamps are also supported from trades and quotes to address inconsistent timestamp granularity.
- Trade conditions – Can be attributed to each trade and filtered to include only relevant trades, such as auction trades and off-book trades.