Asset managers and banks in the United States and Europe have long called on regulators to force exchanges to cut the price of data. Bourses say they are not gouging customers.
The FCA said feedback from market participants suggested that some trading venues and benchmark administrators may not face sufficient competitive pressure, allowing them to charge high prices to customers and competitors.
It said it was using a "call for input" to better understand how data and advanced analytics are being accessed and used, the value offered to participants in wholesale markets, and whether they are competitively sold and priced.
"The FCA wants to know whether users have concerns with the way trading data, benchmarks and vendor services are priced and sold," the watchdog said in a statement.
Data includes prices, bid/ask quotes and volumes of all financial instruments like stocks and bonds.
The Federation of European Securities Exchanges, an industry body, said last year that market data costs have remained stable in recent years, and the real issue was the often low quality of data from off-exchange or "dark" trading platforms.
The FCA said its review would determine if it needed to act, such as by improving competition between data vendors, or making it easier to switch between benchmark providers.
Data has become a revenue driver for exchanges as tougher competition in trading erodes margins.
The London Stock Exchange is buying data and analytics vendor Refinitiv for $27 billion(20.6 billion pounds). Refinitiv is 45%-owned by Thomson Reuters, which owns Reuters News.
Graphic: FCA Data Review 
Under European Union "MiFID II" securities laws, asset managers and banks must show clients they have "executed" share trades at the best prices and need data from exchanges for this.
EU markets watchdog ESMA said in December that MiFID II had failed to cut the cost of stock market data, effectively making it uneconomic to build a pan-European feed for investors to compare share prices on different platforms and compete better with U.S. markets.
The EU's executive European Commission has responded by consulting on possible changes to MiFID II.
Britain's departure from the European Union in January means that the FCA will have no say in how the bloc intervenes in market data pricing.
Britain cut and pasted MiFID II into UK law ahead of Brexit and would therefore have to make any changes itself.
The FCA noted interventions in the United States, where the United States, the Securities and Exchange Commission (SEC) proposed rules in January to govern data feeds after pressure from banks and asset managers.
The review, which closes in May, will look at firms that the FCA regulates and "connected, non-regulated activities and firms" and the FCA will set out its next steps in the autumn.
By Huw Jones
