MAR 11.2 Pre-trade transparency (trading venue operators only)

Continuous auction order book trading system

A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis.

For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the 5 best bid and offer price levels.

Quote-driven trading system

A system where transactions are concluded on the basis of firm quotes, including actionable indications of interest that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances:

• the needs of members and participants to deal in a commercial size; and

• the risk to which the market maker exposes itself.

For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices.

The quotes made public should be those that represent binding commitments to buy and sell the financial instruments and that indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time.

Periodic auction trading system

A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.

For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system.