The mechanism, known as a "consolidated tape", has been a longstanding goal for investors in Europe, which has about 20 trading venues, some of which offer the same stocks but publish information on trades and volumes in different ways.

If created, a single record of real-time trading data would mirror a system adopted in the United States decades ago to bolster efficiency in trading by knitting together platforms.

In a statement, the European Securities and Markets Authority (ESMA) said the consultation is part of its review of the Markets in Financial Instruments Directive, known as MiFID II, launched last year aimed at making trading cheaper and more transparent.

The regulator said it found that MiFID II has so far not delivered on its objective of lowering the prices of market data.

"Establishing a consolidated tape in the EU has been discussed for many years. I believe it is time to decide if and how we want to go ahead with this ambitious project," said ESMA Chair Steven Maijoor.

"We have received a lot of feedback as to whether the price for market data is reasonable, in addition to concerns on price increases and new fees in an environment driven by technological development and a high demand for market data," he said.

ESMA said that the lack of commercial incentives for a stock exchange to pool its data, stiff competition from non-regulated entities and a restrictive regulatory framework, have held the project back.

The consultation will close on Sept. 6 and based on feedback, ESMA will report to the European Commission in December.