are many messages contained within Coleridge’s famous Rime of the Ancient Mariner but really it's about appreciating those things around you and the contrast between beauty and terror. As such it serves as a fitting metaphor for the state of capital markets these days.
Nowhere more so than when it comes to market data here in Europe. What ESMA seems to have forgotten is the difference between data availability and data transparency. We are all drowning in data thanks to the various mandates from them and yet understanding market structure, best execution, or algo behaviour is actually harder than it ever was.
It's not all ESMA’s fault, however, as much of the problem comes from inconsistent naming conventions. So, less than a dozen basic transaction types soon become hundreds when each firm and exchange’s different naming conventions are taken into account.
Thankfully help is at hand from big-xyt which is working with both ESMA and the FIX MMT group to both understand the mess and suggest ways to simplify it.
These simple charts shows how they help provide us all with a better understanding of what is really going on: The first picture shows the more than 500 condition codes for SI reporting, while the second shows the simplified big-xyt view that breaks these into addressable i.e price forming and non price forming liquidity.
Apparently it takes around 17 minutes to read Coleridge’s masterpiece. It’s a shame it has taken ESMA over ten years to get us precisely nowhere...
“Day after day, day after day,
We stuck, nor breath nor motion; As idle as a painted ship
Upon a painted ocean.”
The Rime of the Ancient Mariner - Samuel T Coleridge