In the last 2 weeks there have been numerous price quote irregularities on London Stock Exchange listed stocks - sometimes with quotes incorrect by large margins - especially at the beginning of the day. We, and many brokers, have been publishing these irregularities which has caused concern amongst private investors.

I wanted to write a quick note to explain:

  1. Explain why this has been happening.
  2. Explain what we, and others upstream, are doing to improve matters. 
  3. Give some timeframes for likely resolution.
  4. Ask for your patience while we work these issues through.

Why has this been happening? The London Stock Exchange, in order to comply with new sweeping European MIFID II Regulations that have just come into effect, has split the price reporting of every London listed share price into two separate data feeds. One for "on-book" trades, and one for "off-book/off-exchange" (over the counter) trades. For what historically have always been unique, singular instruments, they have created 2 separate ids and 2 separate channels for every share price quote.

This has caused all kinds of havoc amongst data vendors. At Stockopedia, we were suddenly forced, at very short notice, to accept 2 data feeds (via Thomson Reuters) for every London listed stock and attempt to merge them.

The problem is that the off-book trade data is extremely noisy, and often poorly reported. Some stocks trade off-book in foreign currencies. For example JPEL Private Equity (LON:JPEL) is a share that a lot of subscribers own, and it's flipping between quotes in GBP and USD - but also between minor and major currency units. This is not ideal to say the least as it's messing up standard calculations of things like change on day / percent change on day etc. We're reacting as we can. What's more, sometimes we're receiving the correct price, but in the wrong currency or wrong currency unit.

MIFID II aims to improve the 'transparency' of trade reporting but it seems that this interpretation of the rules is making it much harder for the lay investor to gain clarity on what is going on.

What are we doing? We have been consolidating the two feeds into a single consolidated quote, but the data inconsistencies have been hard to completely clear up. Due to the ephemeral nature of price quotes, it's been hard to isolate whether the issues are coming from the exchange or Thomson Reuters, but…

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