Why Bloomberg and Reuters Trade Counts Can Differ
Summary
The document explains why UK equity trade counts and traded values can differ between Bloomberg terminal data and Reuters RDF data. One reason is feed coverage: trading can occur across regulated venues, multilateral trading facilities, and off-exchange reporting channels, while data vendors may subscribe to different subsets. User settings can also exclude categories such as OTC trades.
A second answer distinguishes a terminal’s potentially conflated price stream from a full tick feed. It recommends comparing like with like, such as full-feed data from both vendors, while noting that venue coverage and possible duplicate reports can still affect totals. The discussion is a practical account rather than a measured comparison of the two services, and feed behavior depends on product, configuration, and market. It also points to consolidated reporting as a way to address fragmented visibility, without establishing that any single feed captures every trade perfectly.
Key ideas
- Trade reports can be distributed across exchanges, multilateral venues, and off-exchange channels.
- Data vendors may collect different venue subsets, producing different counts and turnover totals.
- Terminal settings can filter trade categories and change the observations shown.
- Conflated terminal streams and full tick feeds are not directly comparable.
- Feed coverage and duplicate reports complicate one-to-one trade comparisons.
Tags
Full text
# Bloomberg ticks is difference from Reuter ticks?
# Bloomberg ticks is difference from Reuter ticks?
when I using Bloomberg excel plugins to retrieve the ticks and compare with Reuter RDF data, for some UK equity stocks in same days, the number of ticks and sum of total value is difference, why will that happen?
## Answer by lehalle (score 4, accepted)
https://quant.stackexchange.com/a/11298
Since MiFID 1 in Europe (you may have heard MiFID 2 has been recently adopted), all trades have to be reported somewhere.
Reporting channels are numerous:
- regulated markets have in books and off the book reporting feeds
- MTF have their own, sometimes one for their Lit book and the other for their Dark one
- remaining OTC trades have been reported for long on Markit Boat, now the BATS reporting facility records most of them.
It means that depending to which feeds your provider (namely Bloomberg or Reuters) is connected, you will not see the same subset of trades. Moreover you have some options (for instance on Bloomberg), to decide to exclude OTC trades for instance; it means that depending on the profile you use to log yourself, you will not see the same data...
Here is a snapshot of one week of trading (via the fidessa fragulator, plugged on Markit Boat if I remember well):
you could miss a lot of data if you do not have all the feeds. Moreover there is potentially some double counting... An European consolidated tape should (or could) address all these points.
If you want more details, you show read Market Microstructure in Practice. With co-authors, we try to explain all these in detail ;{)}
## Answer by thisisfun (score 0)
https://quant.stackexchange.com/a/16971
I would think the reason is you are comparing apples and oranges.
With your described Bloomberg solution your are just ripping prices off a terminal application. Bloomberg's Terminal application is - AFAIK - receiving a conflated stream of prices. To most users this is actually a good solution as their workstation would otherwise get overloaded.
You then compare this with something you got off an RDF. The RDF is a true feed and it will give you every tick in the market*.
For a one-to-one comparison you would need to compare prices from a RDF (Thomson Reuters) with prices from a BPipe (which is the name for Bloomberg's full tick feed).
*) There's an exception around OPRA but we are talking LSE here, right?Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.