I’m dreaming of a bull market
Just like the ones I used to know
With the alpha I treasure
As quants do measure
New highs, five days in a row
I’m dreaming of a bull market
With every present wrapped in crepe
And to guide us through the market landscape
Can we have a consolidated tape
I’m dreaming of a bull market
Just like the ones I used to know
When the Christmas parties
Are full of PM smarties
Sharing stock picks blow by blow by blow
I’m dreaming of a bull market
As bright as Santa’s hat and cape
We’ve been asking since 1968
Please can we have a consolidated tape
The reason we built our own pan European consolidated view eight years ago was to create an environment to allow the trading community to evaluate market share and market quality across Equities and ETFs. Then with your help we discovered that so much more was possible when that complex data is curated, harmonised and understood for other purposes. For example, effective trade performance optimisation requires a clear understanding of where to put the stick in the sand/snow. A benchmark such as VWAP can be calculated for any time frame across any combination of venues or mechanisms. Here’s a nice simple example of how it can vary:
Chart: VWAP by mechanism
If you would like to know more about why these are different or prefer to join in with a festive singalong please get in touch.