Market participants say a "consolidated tape", or record of transactions, like the one maintained in the United States would give investors a snapshot of prices to check on the best deals in a region where shares are traded on upwards of 20 platforms.
Such an electronic feed could contain information such as prices at which stock trades have been made, and even proposed prices as well.
The European Securities and Markets Authority (ESMA) on Friday closed a public consultation on whether to recommend that the European Commission orders the creation of a regional ticker tape.
ESMA Chair Steven Maijoor said the watchdog has been "exchanging experiences" with U.S. and Canadian regulators, and would send its advice to Brussels before the end of the year.
"At this stage we want to keep our hands free regarding the direction of our advice, it will also depend on the feedback we are getting," Maijoor told Reuters.
"If there would be an interest in going in that direction, it's also clear that it's a major project that would require multiple years to implement. It's a major undertaking."
Responses to the consultation highlighted the big divide between exchanges and their customers over the cost of data needed to build a consolidated tape.
The Association for Financial Markets in Europe (AFME), which represents banks, said "persistent market failure" has led to big increases in the price of data charged by exchanges, and this must be addressed, whether or not a tape was created.
It should be free to modest retail users, AFME said.
A tape would bring benefits to all market participants and was vital for achieving the EU's goal of a capital markets union, added AIMA and MFA, two funds industry bodies.
The Federation of European Securities Exchanges (FESE) said increases in data prices have been "reasonable and competitive".
Under the bloc's MiFID II securities law, exchanges must provide data on a "reasonable commercial basis", a requirement that regulators have not properly enforced, AFME said.
ESMA's Maijoor hinted that experience on fees gained elsewhere could come in useful.
"Looking into costs is not new to us. We have done this already with credit rating agencies by looking at the fees charged by them," Maijoor said.
EU laws such as MiFID will not apply to Britain after Brexit, but AFME said that a tape could only provide a full view of trading if it included EU, British and Swiss share activity.
FESE said a lack of UK data could very well question the need for an EU tape.
Maijoor said a separate consultation on a tape for non-equities would take place later on.
(Reporting by Huw Jones; Editing by Alex Richardson)
By Huw Jones