ESMA · ESMA_QA_1622 Answer Published

Order-counting methodology for bulk quotes

Regulation
Markets in Financial Instruments Directive II (MiFID II) Directive 2014/65/EU- Secondary Markets
Topic
Direct Electronic Access and algorithmic trading
Submitted
2018-10-04
Answered
2018-10-04
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Question

In the context of RTS 9, which is the order-counting methodology for bulk quotes?

Answer

[ESMA 70-872942901-38 MiFID II MiFIR market structures Q&A, Q&A 3.27] A bulk quote is a bundle of multiple quotes, possibly on several financial instruments. As per Article 3 of RTS 9, where the methodology for counting orders for a specific order type is not detailed, the trading venue “shall count the messages in accordance with the general system behind the methodology outlined and on the basis of the most similar order type appearing in the Annex”. According to the methodology in RTS 9, calculations should be performed at the level of each financial instrument and, furthermore, the Annex specifies that each quote should be counted as two orders (one for the buy side and one for the sell side). Accordingly, each order/quote sent within a bulk quote, should be treated individually and be counted as specified in the Annex of RTS 9.
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This Q&A is published by European Securities and Markets Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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