Trading Venue MF2 Best Execution Data Publication

DRAFT WiP

Trading venues and systematic internalisers have to publish a huge amount of information on the volume and quality of order and execution that occurs on them.  this is a draft cut on the data required by technical standard 2017/575

Reports have to be published quarterly by the end of the next quarter on;

 

  1. Execution Price Data

Detailing for each trading day;

  • The average price of all transactions executed in two minute windows at 9:30, 11:30, 13:30 15:30. The prices have to be split into three trade size ranges;
    • € 0 – SMS or SSTI
    • SMS/ SSFI – LiS
    • > LiS
  • The total value of these trades.

Where no trades were executed the next trade executed after the window should be disclosed with its time, size and the best available bid and offer or suitable reference price.

  • Daily simple average price and volume weighted average price as well as the hi and the low executed price for the day.

 

  1. Cost Information

A description of the cost structure as well as any rebate or discount arrangements.  Specifically details of;

  • Execution fees
  • Order or quote fees for submission, amendment, cancellation, withdrawal
  • Market data and terminal access
  • Any third party fees or clearing, settlement fees.

The disclosures must also include any non-monetary benefits offered, taxes and levies and an overall summary of the costs, rebates and discounts expressed in monetary terms and as a percentage of the traded value.

 

  1. Execution Likelihood

For each market segment and financial instrument, the following has to be disclosed;

  • Number of orders or RFQs received
  • Number and value of transactions executed
  • Number of orders or RFQs that were actively cancelled or withdrawn
  • Number of orders or RFQs that were modified
  • The median transaction size
  • The median order or RFQ size
  • The number of designated market makers

 

  1. Market Depth

Where there is a continuous auction order book or a continuous quote driven trading system at the same time windows specified above;

  • Best bid and offer prices with volumes
  • The volume depth for three price increments

For each trading day and financial instrument;

  • Average effective spread
  • Average volume at best bid and offer
  • Average spread at best bid and offer
  • Number of cancellations at best bid and offer
  • Number of modifications at best bid and offer
  • Average book depth for three price increments
  • Mean and median time between an aggressive order (liquidity taking) and its partial or total execution
  • Average speed of unmodified passive orders at best bid and offer
  • Number of Fill or Kill orders that failed
  • Number of Immediate or Cancel orders that got zero fill
  • Number and value of LiS transactions
  • Number and value of trades which used the pre-trade order disclosure waivers excluding orders held pending disclosure in the venue order management system
  • Number, average duration of trading interruptions due to volatility or circuit breakers
  • Number, nature and average duration of any trading suspension for other reasons.
  • Number and average duration of periods > 15 minutes where no bids or offers were provided.
  • Percentage of the trading day when a quote was available.