We used an excel file provided by the FMC team with APIs and works very well for this initial research stage. The excel file pulls 20 days turnover data per ISIN across all the on/off book exchanges.
On our side we would like to move towards a more structured way to consume these volume data in the coming months: our target would be to automatise the download for a given list of primary RICS to capture all cross-exchanges volumes for ETFs, even using the same logic that the excel file uses (eg. get all RICS from one primary RIC, then download volume from these RICs) but on python instead of Excel would be enough for us. But if you have other solutions such as ftp transfers or file transfers could be even better for us.
