Equiduct Debuts Pan-European VBBO Feed

By the end of April, the feed will carry data on up to 800 European stocks, although only a subset of those stocks will be available at launch, officials say.

The goal of the VBBO will be to provide volume-weighted best bid and offer prices based on aggregated liquidity across multiple venues, says Artur Fischer, co-chief executive of Equiduct Trading and its parent company, Börse Berlin. One of the inclusion criteria is that a stock must already trade across more than one visible liquidity pool. "It makes sense that we choose securities that are traded on several markets, otherwise it's only a volume-weighted bid and offer from one market," Fischer says.

The exchange sources low-latency order-book data from multiple venues, and uses a proprietary calculation engine to derive a VBBO price for two different levels of volume-retail and standard market size-which are defined separately by the European Commission's Markets in Financial Instruments Directive.

Fischer declines to name the partner providing the direct feeds from other markets, describing them only as a "specialized" vendor. "I can at least tell you that it isn't one of the big [established vendors] that has been around for a long time," he says.

Equiduct will publish the VBBO data via its Web site using a Web-based display application built by Arcontech, the data technology subsidiary of UK-based data vendor Knowledge Technology Solutions (IMD, Jan. 21). The exchange will also offer a direct feed, which will be based on version 4.4 of the Financial Information eXchange (FIX) protocol, and is investigating the possibility of using FAST compression techniques.

Firms that are looking to source data directly from the exchange can build their own feed handlers or source a low-latency datafeed that will be available from UK-based vendor Fixnetix, Fischer says. He adds that the exchange is in the process of establishing numerous other vendor redistribution partnerships.

"One, two or three weeks after launch, we'll have the first data vendor distributing our data, and we have a number of others that are developing to our infrastructure and will distribute it before we go live with trading in June," says Equiduct chief operating officer Willy Van Stappen.

Equiduct's VBBO datafeed will initially be available free of charge, although the exchange is likely to review this policy as the business develops, Fischer says.