The International Celestial Reference Frame (ICRF, Ma et al. 1998) is currently the best realization of a quasi-inertial reference system. It is based on more than 10 years of cumulated geodetic and astrometric VLBI observations of compact extragalactic objects at centimetric wavelengths. In the perspective of the realization of an accurate optical counterpart of the ICRF using future space astrometry missions like GAIA or SIM, this paper investigates the consistency of celestial reference frames realized through the same subset of compact extragalactic radio sources at optical wavelengths. Celestial reference frames realized in radio wavelengths with the VLBA Calibrator Survey (VCS) data and in optical wavelengths with the Sloan Digital Sky Survey (SDSS) data (DR3 quasar catalogue and DR5) are compared in terms of radio-optical distances between the common sources, global rotation of the axes and offset of the equator.