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XBO Composite Quote Exchange Origin

Hi,

when receiving feeds for XBO symbols, is there a way to tell the original Exchange that sends the bid/ask, or the bid/ask is also XBO composite so Exchange info is not available? We saw quote updates, for example, LRDGBP.xbo, either one entry of:

BIDSIZE 1096

or entry of the following:

ASKSIZE 22932
MID_PRICE 151.875
BIDSIZE 3375
BID 151.750
ASK_RIC LRD.L
BUYER_ID LSE
SELLER_ID LSE*
LONGLINK9 LRD.L

we can't tell if it's from LSE, BATS, CHIX, or Turquoise. Thanks.

elektronrefinitiv-realtimeelektron-sdkquoteexchange-codes
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Hi,

Our xbo service was designed for MIFID I (we are slowly moving into the updated legislation of MIFID II at the start of 2018) and so has been around for a while now.

It contains quote and post-trade data from the primary venue (LSE, Euronext etc depending on the instrument and country you select) plus also a couple of the main MTFs from that market. The list used to be bigger but now it is typically Tuquoise, BATs and Chi-X Europe (BATs and Chi-X are differing platforms but both owned by CBOE). Its not the same as the US consolidated quote where you get the NBBO from all venues in the tape eg IBM shows the NBBO for all venues that trade IBM.

The xbo RICs will only show the best BID and ASK from the venues that are listed under the "0# RIC" eg 0#VODGBP.xbo which for London is VODl.BS, VODl.CHI and VODl.TQ as well as VOD.L.

You can see the source RIC the BID and ASK comes from by looking at ASK_RIC and BID_RIC respectively. The venue the latest trade price has come from is in TRD_P_XID and BUYER_ID and SELLER_ID performs the same function for the BID and ASK respectively.

Any further questions please let me know.

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Thanks Time for the detailed reply. Understood that the referred quotes above were NBBO across the primary venue plus other main MTFs (BATS, Chi-X, Turquoise) however is it possible to amend the feeds to have feed origin information along with the quotes? Or MIFID II would have those details? thank you,

Hi,

Im not sure what you mean by feed origin information? Do you mean providing which venues the quote is coming from, or something different to that? For these xbo we get the content directly from the venue feeds (eg the LSE GTP feed) and feed onto the specific LSE RIC. The xbo then takes the data off the LSE RIC (and the BATS etc).

Tim

Yes, I meant the venue the quote is coming from. You mentioned we can tell by looking at ASK_RIC and BID_RIC. Taking the example above: it has BID as 151.750 but it doesn't have BID_RIC. Shouldn't it be provided or one can use either ASK_RIC or BID_RIC to determine the venue?

Yes You can look at BID_RIC or ASK_RIC. But also BUYER_ID or SELLER_ID. If the BUYER_ID or SELLER_ID have the below values:
BTE = VODl.BS

LSE = VOD.L

CHI = VODl.CHI

TRQ = VODl.TQ

The BUYER_ID and SELLER_ID can be different as we source the top BID and ASK from any of the main venues, so one venue may have the best BID, but not the best ASK, same goes for the BID_RIC and ASK_RIC fields.

Tim

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It could be BUYER_ID and SELLER_ID fields. Followings are the definitions of these fields.

BUYER_ID: Venue code from FID 1709 on source RIC, for update that is being applied to the FID 22 (BID). If there is more than one venue with the same bid, the first (earliest) venue should be held followed by an asterisk.

SELLER_ID: Venue code from FID 1709 on source RIC for update that is being applied to the FID 25 (ASK). If there is more than one venue with the same ask, the first (earliest) venue should be held followed by an asterisk.

However, to confirm it, please submit a question to the content support team via Contact Us page.

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Thanks for the reply. I still like to know if the bid/ask are the best NBBO among all venues? or is there a way to tell if it is?

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@jzhao: To know which venues contributed to consolidated quote, please subscribe to the chain RIC symbol in FID801. For LRDGBP.xbo it will be 0#LRDGBP.xbo.

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