We construct the first nanosecond-level European Best Bid and Offer (EBBO) by consolidating direct-feed quotes from ten major venues for Eurostoxx50 constituents between 2020 and 2024. The EBBO reveals that consolidation halves quoted spreads and nearly triples displayed depth, yet only 79–86% of marketable orders execute at the best available price. Geographic latency, routing frictions, and incomplete connectivity generate welfare losses of more than €50 million per year. These results quantify some of the costs of fragmentation and demonstrate how a consolidated European benchmark could enhance execution quality, transparency, and competition—directly informing the design of the Markets in Financial Instruments Directive III’s (MiFID III) Consolidated Tape.