05.21.2014
By Terry Flanagan

Direct Edge Offers Depth of Book Data via Bloomberg

Direct Edge has made its EdgeBook Depth data feed, which provides depth-of-book order information from Direct Edge’s EDGA and EDGX exchanges, available on the Bloomberg Professional service to subscribers of real-time U.S. Level 1 market data.

This will greatly increase the visibility of Bats Global Markets’ and the EDGX and EDGA exchanges’ liquidity, giving Bloomberg subscribers more transparency into the equities marketplace, according to Bats President William O’Brien.

“It’s giving the people who use the Bloomberg service, which is a very broad swath of the buy-side and sell-side trading community, access to not only the best prices on each of these exchanges, but every order,” O’Brien told Markets Media.

For example, suppose a trader wants to buy 25,000 shares of Microsoft, and the bid for Microsoft is $40 and the offer is $40.01, but the bid is for 500 shares and the offer is for 800 shares.

“You know what the best prices are, but you really don’t know what your order is going to get filled at because the size of your order is much bigger than what you are seeing as the ‘best price,’” O’Brien said. “So when you’re taking EDGX and EDGA depth of book data you know what people are willing to sell at $40.01, $40.02, $40.03, $40.04, so you are going to get a complete view of where the real liquidity lies in the market.”

In an environment where traders want to know what trading interest is 1, 2, or 3 pennies away from the best price, having data in real time about every order provides a much deeper view of the marketplace, especially given that on any given day BATS and its exchanges in total can be the number one exchange by volume in market share, O’Brien said.

Bloomberg’s equity market data and analytics give institutional investors information about global, economic and industry trends in order to help them identify market opportunities, implement trade ideas, as well as monitor and measure portfolio performance.

“Historically, you have had two choices if you were looking at market data real time,” said O’Brien. “You could get the data from the SIP. That’s typically called level 1 data which will give you the best prices of each exchange. Or, you can get depth of book information directly from each exchange which would show you all of their prices. BATS, even though the market share is effectively the same, and sometimes greater than its two legacy competitors, is making that data available for free.”

O’Brien took note of the market structure debate that has gained momentum since the publication of Michael Lewis’s book Flash Boys.

“There’s been a lot of discussion, especially in the last 6 or 7 weeks, about access to data and whether person A is getting better data at faster speeds than person B,” he said. “For Bats to be making its depth of book data available to tens of thousands of Bloomberg users at an individual user by user cost of zero, I think just bolsters the case that the best information is widely available.”

Featured image courtesy of Direct Edge

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