The wait continues for Canadian consolidated market feeds

Market providers are still waiting for the official consolidated feed which offers market data from all the Canadian ATSs, the TSX and the TSX-V. There are providers, such as IRESS Canada, that have purchased market data from each ATS separately and have packaged a consolidated feed for their own customers, but many market providers are still waiting for the regulator-blessed, TMX Group-packaged consolidated feed. In the summer of 2009, the Canadian Securities Administrators appointed the TMX Group to act as information processor for all exchange-traded securities. The TMX Group then created the TMX Information Processor (TMX IP) to collect, process and distribute order and trade information from all Canadian exchanges. Under National Instrument 21-101, all Canadian exchanges that display orders and trades of exchange-listed securities -- including Alpha, Chi-X, Pure Trading, Omega ATS, TriAct Match Now and Liquidnet -- must provide the data to the TMX IP. The TMX Group's goal was to become a one-stop shop for a consolidated data feed; other applicants were disappointed.

Most of the ATSs are already passing along their market data to the TMX IP, except for the all-important ATS which now captures over 25 per cent of the TSX market share each week, Alpha. According to the TMX Group, it is ready and willing to accept Alpha's market data, but the ATS has not yet complied. The reason it can hold off for this long is the CSA never gave a deadline for when the ATSs must provide a market data feed to the TMX IP, so poky Alpha may be unhelpful for the TMX Group's plans for a while longer.

In any event, Alpha has other projects needing attention. It reported in October, 2009, that it had joined with Thomson Reuters Corp. to, at some point, provide an independent consolidated tape. Neither Alpha nor Thomson Reuters has said when this independent consolidated tape will be available and they have not provided any updates since their October press releases.

With the Alpha-Reuters consolidated feed coming along slowly, and more high-frequency trading firms setting up operations in Canada, Chi-X is the latest ATS to step up with a consolidated feed. In February, 2010, Chi-X and Atrium Network reported they would launch Canada's "first live market ecosystem," also known as a consolidated market data feed, which includes data from Canada's ATSs and exchanges. Chi-X and Atrium expect their ecosystem will be up and running by mid-March.

by Stockwatch Business Reporter