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Demystifying Market Data and Frequently Asked Questions

16 Aug 2017

We often get asked questions about our data, suppliers and calculations, so we thought we’d take some time out to explain some of the ins and outs behind the information we provide, where it comes from and how it’s calculated

We guess the first thing to mention is that we receive our market data from Morningstar, a tier-1 vendor who connects directly to the London Stock Exchange’s Market Data Feed. They provide us with all of the relevant pricing and trade data needed to construct an accurate view of a London Stock Exchange instrument. They also provide us with data for alternative markets, including Australia’s ASX, and North America’s TSX and TSX-V.

Why does my share price differ between providers?

The first thing to understand is that there is no definitive share price as such, it’s something that each provider calculates, and these calculations can differ.

Each exchange maintains a book of buy and sell orders and quotes at a wide range of prices, and reports trades placed both on and off the exchange. We also have to look at the variety of open / close / auction prices, and all sorts of average / high / low values derived from them all.

This means there’s no single ‘headline’ price for each stock!

Most of the time the price displayed within our IR tools and widgets matches the prices shown by exchanges and other providers. But there are corner cases where it doesn’t. For example, if there have been no quotes or trades for a couple of days, providers may differ widely on how they choose their close, open, and mid prices, which in turn can have knock-on effects further down the calculation for other values.

So if you’re wondering why your share price differs from someone else’s, you need to have both parties explain how they arrived at the figure to understand the differences. Unless you’re looking at dramatic differences between providers you might find it hard to decide which is ‘right’ and ‘wrong’!

One comparison we always come up against is the prices shown on the London Stock Exchange website. Interestingly, the LSE’s market data section is powered by data received from a third party vendor. It’s also delayed by “at least” 15 minutes, but a timestamp isn’t displayed, so it’s difficult to determine where the data originates, or the delay applied to what is shown.

Can you change how my regulatory news is displayed?

The short answer is no, probably not.

In the UK, there are multiple Primary Information Providers (PIPs) that a company can use to distribute their regulatory news announcements to the market. The one that everyone has heard of, and is almost synonymous with regulatory distribution, is the Regulatory News Service (RNS) – part of the London Stock Exchange itself. But there are others including PR Newswire, Business Wire, Globenewswire and Thomson Reuters.

Thankfully we receive news from all of these distributors, but as you might appreciate each one of them uses different technology for the creation, submission and distribution process. And as with most things digital and web related, the announcements themselves are styled using web languages like HTML and CSS.

The styling behind an announcement is created at the point of submission and does differ from provider to provider, and even client to client. We receive a feed of all announcements as they are released, and simply pass the information through our systems and into our tools. As a result we’re unable to change the styling before it appears on our client websites. If you need the style of an announcement adjusted it’s best to concentrate on the creation and submission process and ensure it’s correct there.

Why does my share price change after market close?

The LSE market hours are 08:00 to 16:30. This doesn’t mean the trading stops though.

Stocks close for regular trading following the closing bell, if not before, but it’s common for trades to continue being executed. Many get matched as part of the closing auction, finishing with a final uncrossing trade. And off-exchange trading (parties buying and selling shares directly with each other) can happen at any time too.

All trades, executed inside or outside market hours, can also experience delayed publication, where they were executed earlier that day (or on previous days) but not announced officially until later. The same can be said for cancellations or corrections to earlier trades!

Activity in the order book will often take a while to wind down, as traders and market-makers amend or cancel their orders and quotes. This usually causes the best bid and best offer prices to move progressively further from each other, sometimes taking an hour or two to settle down. Occasionally, there are further changes during the night before activity starts winding up again 30–60 minutes before market open the next day.

For all these reasons, it’s perfectly normal for prices and other values to change while the market is closed, especially in heavily traded stocks.

Why are my latest trades delayed?

Most on-exchange trades are published the instant they’re executed, and most off-exchange trades are reported to the exchange and published almost immediately.

But some types of trade (both on- and off-exchange) are allowed to be published with a delay (often depending on the size of the trade), so may not be announced until minutes, hours, or even days later. Similarly, corrections or cancellations for existing trades may not appear until hours or days later.

How do you know who is buying and who is selling?

Exchanges are not retailers, nor even wholesalers: they’re effectively trading floors, letting people trade with each other. So in each trade, one party will be buying, and another selling. The same applies to trades placed off the exchange, where two parties trade directly with each other.

This leads to the question, why do we call some trades ‘buys’ and other ‘sells’, if they’re all actually both?

It’s determined by whichever side is counted as the ‘aggressor’. For trades made on the exchange, the first order of the two is taken as the aggressor, and the resulting trade given that direction (buy or sell).

However, many exchanges don’t report that ‘aggressor side’; and off-exchange trades generally won’t have one. This forces data suppliers to infer a direction for themselves. In some cases, it may be inferred wrongly; and in others, it may not be possible to infer a direction at all.

Why is the best offer price lower than the best bid?

It’s not a particularly common question, but we thought it was worth covering nonetheless.

The bid is the price someone wants to buy at; the offer (AKA ask) is the price someone wants to sell at. So if the best bid reaches or exceeds the best offer, you have the makings of a successful trade! As a result, you’d always expect the best bid to be less than the best offer.

However, that only applies while the stock is in regular trading.

There are many reasons why orders may not be matched up: an auction period, a trading halt, suspension or trade-reporting for example. In some of these cases, orders and quotes may still be placed, and so the best bid could reach or exceed the best offer.

In particular, this usually applies during the opening and closing auctions.

Where does your company fundamental data come from?

The simplest answer is publicly available sources!

In practice this means reading regulatory news service announcements, annual reports and other communications on a consistent basis, looking for changes to Major Shareholders, Director Dealings and other corporate activity data-sets. Thankfully this is something our supplier takes care of.

Databases are updated whenever new information is made available, and these updates are often reflected within our dynamic IR tools and services the day after the information becomes available. Some of our data may also come from a range of external suppliers, and in these cases we have to speak with them about any requested changes.

There may be cases where company information has changed, for example the registered address, but this information isn’t disclosed over ‘official’ regulatory channels and therefore may not be included within our updates. We’re happy to make adjustments to the database in such cases once we’ve been able to verify it.

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