In this Regulation, ‘IP completion day’ has the meaning given in the European Union (Withdrawal) Act 2020.

This Regulation applies to a MiFID investment firm and a UK RIE.

1. (1)

   Where a term is defined in article 4 of Directive 2014/65/EU, the same definition applies for this Regulation except that:

   1. (a)

      where it is defined in article 2 Regulation 600/2014/EU, as amended by the Markets in Financial Instruments (Amendment) (EU Exit) Regulations 2018, that definition applies; and

   2. (b)

      ‘limit order’ is defined as ‘an order to buy or sell a financial instrument, as specified in Part 1 of Schedule 2 to the Financial Services and Markets Act 2000 (Regulated Activities Order) 2001 [SI 2001/544], at its specified price limit or better and for a specified size’.

2. (2)

   Article 2(1)(62) of Regulation 600/2014/EU applies for the purposes of this Regulation.

3. (3)

   ‘MiFID investment firm’ and ‘UK RIE’ are defined in accordance with the Glossary to the Handbook of Rules and Guidance published by the Financial Conduct Authority immediately after IP completion day.

Subject to the 'Application' and 'Interpretation' provisions above, this Regulation lays down the specific content, the format and the periodicity of the data to be published by execution venues relating to the quality of execution of transactions. It shall apply to trading venues, systematic internalisers, market makers, or other liquidity providers.

For the purposes of this Regulation, the following definitions shall apply:

1. (a)

   trading system means the way in which an execution venue executes orders as continuous auction order book, continuous quote driven, request for quote, periodic auction or any hybrid system falling into two or more of these categories or into a system where the price determination process is of a different nature than that applicable to the types of system set out above;

2. (b)

   "Size Specific to the financial instrument" means size specific to a bond, structured finance product, emission allowance or derivative traded on a trading venue, for which there is not a liquid market and where the transaction in those instruments is subject to deferred publication in accordance with Article 11 of Regulation (EU) No 600/2014;

3. (c)

   Large in Scale means an order large in scale in accordance with Article 7 and 11 of Regulation (EU) No 600/2014;

4. (d)

   failed transaction means a transaction that was voided by the execution venue;

5. (e)

   price multiplier means the number of units of the underlying instrument represented by a single derivative contract;

6. (f)

   price notation means an indication as to whether the price of the transaction is expressed in monetary value, in percentage or in yield;

7. (g)

   quantity notation means an indication as to whether the quantity of the transaction is expressed in number of units or in nominal value or in monetary value;

8. (h)

   delivery type means an indication as to whether the financial instrument is settled physically or in cash including instances when the counterparty may choose or when it is determined by a third party;

9. (i)

   trading mode means scheduled opening, closing or intra-day auction, unscheduled auction, trading at close, trading out of main session, or trade reporting;

10. (j)

    trading platform means the type of platform the execution venue operates: electronic, voice or outcry;

11. (k)

    book depth means the total available liquidity expressed as the product of price and volume of all bids and offers for a specified number of price increments from the mid-point of the best bid and offer;

12. (l)

    average effective spread means the average of twice the difference between the actual execution price compared with mid-point of best bid and offer at time of receipt, for market orders or marketable limit orders;

13. (m)

    average speed of execution for unmodified passive orders at best bid and offer means the average time elapsed between a limit order that matches the best bid and offer being received by the execution venue, and the subsequent execution of this order;

14. (n)

    aggressive order means an order entered into the order book that took liquidity;

15. (o)

    "passive order" means an order entered into the order book that provided liquidity;

16. (p)

    immediate or cancel order means an order which is executed upon its entering into the order book and which does not remain in the order book for any remaining quantity that has not been executed;

17. (q)

    fill or kill order means an order which is executed upon its entering into the order book provided that it can be fully filled. In the event the order can only be partially executed, then it is automatically rejected and is not executed.

1. (1)

   Trading venues and systematic internalisers shall publish for each market segment they operate and each financial instrument subject to the trading obligation in Article 23 and 28 of Regulation (EU) No 600/2014 information on the type of execution venue in accordance with the third subparagraph.

   Execution venues shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Article 23 and 28 of Regulation (EU) No 600/2014 information on the type of execution venue in accordance with the third subparagraph.

   The following information shall be published in the format set out in Table 1 of the Annex:

   1. (i)

      name and venue identifier of the execution venue;

   2. (ii)

      country of location of the competent authority;

   3. (iii)

      name of the market segment and market segment identifier;

   4. (iv)

      date of the trading day;

   5. (v)

      nature, number and average duration of any outage, within the venue's normal trading period, that interrupted trading across all instruments available to trade at the venue on the date of the trading day;

   6. (vi)

      nature, number, and average duration of any scheduled auctions within the venue's normal trading period on the date of the trading day;

   7. (vii)

      number of failed transactions on the date of the trading day;

   8. (viii)

      value of failed transactions expressed as a percentage of total value of transactions that were executed on the date of the trading day.

2. (2)

   Trading venues and systematic internalisers shall publish for each market segment they operate and each financial instrument subject to the trading obligation in Article 23 and 28 of Regulation (EU) No 600/2014, information on the type of financial instrument in accordance with the third subparagraph.

   Execution venues shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 information on the type of financial instrument in accordance with the third subparagraph of this paragraph.

   The following information shall be published in the format set out in Table 2 of the Annex:

   1. (a)

      for financial instruments that have identifiers as set out in Table 2 of the Annex:

      1. (i)

         name and financial instrument identifier;

      2. (ii)

         instrument classification;

      3. (iii)

         currency;

   2. (b)

      for financial instruments that do not have identifiers as set out in Table 2 of the Annex:

      1. (i)

         the name and a written description of the instrument, including the currency of the underlying instrument, price multiplier, price notation, quantity notation and delivery type;

      2. (ii)

         instrument classification;

      3. (iii)

         currency.

Trading venues and systematic internalisers shall publish for each market segment they operate and each financial instrument subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 information as regards price for each trading day orders were executed on the financial instrument in accordance with the third and fourth paragraphs of this Article.

Execution venues shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 information as regards price for each trading day orders were executed on the financial instrument in accordance with the third and fourth paragraphs of this Article.

The following information shall be published:

1. (a)

   intra-day information

   1. (i)

      for trading venues: the simple average price of all transactions that were executed in the two minutes starting at each of the reference times 9.30.00, 11.30.00, 13.30.00 and 15.30.00 UTC on that date and for each size range as set out in Article 9;

   2. (ii)

      for systematic internalisers, market makers and other liquidity providers: the simple average price of all transactions that were executed in the two minutes starting at each of the reference times 9.30.00, 11.30.00, 13.30.00 and 15.30.00 UTC on that date within size range 1 as set out in Article 9;

   3. (iii)

      total value of trades executed during the two minute period referred to in points (i) and (ii);

   4. (iv)

      for trading venues: if no transactions occurred during the first two minutes of the relevant time periods referred to in point (i), the price of the first transaction executed within each size range as set out in Article 9, if any, after each of the reference times set out in point (i) on that date;

   5. (v)

      for systematic internalisers, market makers and other liquidity providers: if no transactions occurred during the first two minutes of the relevant time periods referred to in point (ii), the price of the first transaction executed within size range 1 as set out in Article 9, if any, after each of the reference times set out in point (ii) on that date;

   6. (vi)

      execution time for each transaction referred to in points (iv) and (v);

   7. (vii)

      transaction size in terms of value for each executed transaction referred to in points (iv) and (v);

   8. (viii)

      trading system and trading mode under which the transactions referred to in points (iv) and (v) were executed;

   9. (ix)

      trading platform on which the transactions referred to in (iv) and (v) were executed;

   10. (x)

       best bid and offer or the suitable reference price at the time of execution for each executed transaction referred to in points (iv) and (v);

       Intra-day information shall be published in the format set out in Table 3 of the Annex.

2. (b)

   daily information:

   1. (i)

      simple average and volume-weighted average transaction price, if more than one transaction occurred;

   2. (ii)

      highest executed price, if more than two transactions occurred;

   3. (iii)

      lowest executed price, if more than two transactions occurred.

Daily information shall be published in the format set out in Table 4 of the Annex.

Trading venues and systematic internalisers shall publish for each market segment they operate and each financial instrument subject to the trading obligation in Article 23 and 28 of Regulation (EU) No 600/2014 information as regards costs applied by the trading venue to any members or users of the venue in accordance with the third paragraph of this Article.

Execution venues shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 information as regards costs applied by the execution venues to any members or users of the venue in accordance with the third paragraph of this Article.

The following information shall be published in the format set out in Table 5 of the Annex:

1. (a)

   a description of the nature and level of all components of costs applied by the execution venue, before any rebates or discounts are applied, and information on how those costs differ according to the user or financial instrument involved and the relevant amounts by which they differ. The components of costs shall include:

   1. (i)

      execution fees;

   2. (ii)

      fees for the submission, modification or cancellation of orders or quotes withdrawals;

   3. (iii)

      fees related to market data access and use of terminals;

   4. (iv)

      any clearing and settlement fees and any other fees paid to third parties involved in the execution of the order;

2. (b)

   a description of the nature and level of any rebates, discounts or other payments offered to users of the execution venue including information on how those rebates, discounts or other payments differ according to the user or financial instrument involved and the amounts by which they differ;

3. (c)

   a description of the nature and amount of any non-monetary benefits offered to users of the execution venue, including information on how those non-monetary benefits differ according to the user or financial instrument involved and the value by which they differ

4. (d)

   a description of the nature and level of any taxes or levies invoiced to, or incurred by the execution venue on behalf of the members or users of the venue;

5. (e)

   a link to the website of the venue or to another source where further information on costs is available;

6. (f)

   the total value of all rebates, discounts, non-monetary benefits or other payments as set out under points (b) and (c), expressed as a percentage of the total traded value during the reporting period;

7. (g)

   the total value of all costs as set out in point (a), excluding the total value of rebates and discounts, non-monetary benefits or other payment as set out in points (b) and (c), expressed as a percentage of the total traded value during the reporting period.

Trading venues and systematic internalisers shall publish for each market segment they operate and each financial instrument subject to the trading obligation in Article 23 and 28 of Regulation (EU) No 600/2014 information as regards likelihood of execution for each trading day in accordance with the third paragraph of this Article.

Execution venues shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 information as regards as regards likelihood of execution for each trading day in accordance with the third paragraph of this Article.

The following information shall be published in the format set out in Table 6 of the Annex:

1. (a)

   number of orders or requests for quotes that were received;

2. (b)

   number and value of transactions that were executed, if more than one;

3. (c)

   number of orders or request for quotes received that were cancelled or withdrawn excluding passive orders with instructions to expire or to be cancelled at the end of the day;

4. (d)

   number of orders or request for quotes received, that were modified on that date;

5. (e)

   median transaction size on that date if more than one transaction occurred;

6. (f)

   median size of all orders or requests for quote on that date if more than one order or request for quote was received;

7. (g)

   number of designated market makers.

1. (1)

   Trading venues and systematic internalisers operating under a continuous auction order book, continuous quote driven trading system or other type of trading system for which that information is available shall publish for each market segment they operate and each financial instrument subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information at the reference times specified in points (i) and (ii) of Article 4(a) for each trading day in accordance with the third subparagraph of this paragraph.

   Execution venues operating under a continuous auction order book, continuous quote driven trading system or other type of trading system for which that information is available shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information at the reference times specified in points (i) and (ii) of Article 4(a) for each trading day in accordance with the third subparagraph of this paragraph.

   The following information shall be published in the format set out in Table 7 of the Annex:

   1. (i)

      best bid and offer price and corresponding volumes;

   2. (ii)

      book depth for three price increments.

2. (2)

   Trading venues and systematic internalisers operating under a continuous auction order book, continuous quote driven trading system or other type of trading system for which that information is available, shall publish for each market segment they operate and for each financial instrument subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information for each trading day, in accordance with the third subparagraph of this paragraph.

   Execution venues operating under a continuous auction order book, continuous quote driven trading system or other type of trading system for which that information is available shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information for each trading day, in accordance with the third subparagraph of this paragraph.

   The following information shall be published in the format set out in Table 8 of the Annex:

   1. (a)

      average effective spread;

   2. (b)

      average volume at best bid and offer;

   3. (c)

      average spread at best bid and offer;

   4. (d)

      number of cancellations at best bid and offer;

   5. (e)

      number of modifications at best bid and offer;

   6. (f)

      average book depth for 3 price increments;

   7. (g)

      mean and median time elapsed between an aggressive order or quote acceptance being received by the execution venue and the subsequent total or partial execution;

   8. (h)

      average speed of execution for unmodified passive orders at best bid and offer;

   9. (i)

      number of Fill or Kill orders that failed;

   10. (j)

       number of Immediate or Cancel orders that got zero fill;

   11. (k)

       number and value of transactions that were executed on the trading venue that are Large in Scale pursuant to Article 4 or 9 of Regulation (EU) No 600/2014;

   12. (l)

       number and value of transactions that were executed on the trading venue pursuant to Article 4 or Article 9 of Regulation (EU) No 600/2014, but excluding orders that are held in an order management facility of the trading venue pending disclosure and not included under point (k);

   13. (m)

       number and average duration of trading interruptions as the result of any volatility auction or circuit breaker which occurred within the venue's normal trading period;

   14. (n)

       nature, number and average duration of any trading suspension that occurred as a result of a decision by the venue within the venue's normal trading period, outside of any that were reported under Article 3(1)(v).

3. (3)

   Trading venues and systematic internalisers operating under, in whole or in part, a continuous quote driven trading system, shall publish for each market segment they operate and financial instrument subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information in accordance with the third subparagraph of this paragraph.

   Execution venues operating under, in whole or in part, a continuous quote driven trading system shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information in accordance with the third subparagraph of this paragraph.

   The following information shall be published in the format set out in Table 8 of Annex:

   1. (a)

      the number and average duration, during the venue's normal trading hours, of any periods lasting more than 15 minutes during which no bid or offers were provided for each trading day;

   2. (b)

      average quote presence expressed in percentage of the venue's normal trading period on that date.

Trading venues and systematic internalisers operating under a request for quote trading system or any other type of trading system for which that information is available shall publish for each market segment they operate and each financial instrument subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information for each trading day in accordance with the third paragraph of this Article.

Execution venues operating under a request for quote trading system, or any other type of trading system for which that information is available shall publish for each market segment they operate and each financial instrument not subject to the trading obligation in Articles 23 and 28 of Regulation (EU) No 600/2014 additional information for each trading day in accordance with the third paragraph of this Article.

The following information shall be published in the format set out in Table 9 of Annex:

1. (a)

   the mean amount of time and median amount of time elapsed between the acceptance of a quote and execution, for all transactions in that financial instrument, and;

2. (b)

   the mean amount of time and median amount of time elapsed between a request for a quote and provision of any corresponding quotes, for all quotes in that financial instrument.

Execution venues shall report the executed transactions specified in Article 4 for the following ranges:

1. (a)

   for all financial instruments other than money market instruments:

   1. (i)

      range 1: greater than EUR 0 and less than or equal to the Standard Market Size or the Size Specific to the financial instrument;

   2. (ii)

      range 2: greater than the Standard Market Size or the Size Specific to the financial instrument and less than or equal to Large in Scale;

   3. (iii)

      range 3: greater than Large in Scale.

2. (b)

   for illiquid shares, exchange traded funds or certificates:

   1. (i)

      range 1: greater than EUR 0 and less than or equal to the smallest available Standard Market Size in that type of instrument;

   2. (ii)

      range 2: greater than the smallest available Standard Market Size in that type of instrument and less than or equal to Large in Scale;

   3. (iii)

      range 3: greater than Large in Scale.

3. (c)

   for money market instruments:

   1. (i)

      range 1: greater than EUR 0 and less than or equal to EUR 10 million;

   2. (ii)

      range 2: greater than EUR 10 million and less than or equal to EUR 50 million;

   3. (iii)

      range 3: greater than EUR 50 million.

Execution venues shall publish, for each trading day, the information in accordance with the templates set out in the Annex, in a machine-readable electronic format, available for downloading by the public.

Execution venues shall publish the information quarterly and no later than three months after the end of each quarter, as follows:

1. (a)

   by 30 June, information regarding the time period 1 January to 31 March;

2. (b)

   by 30 September, information regarding the time period 1 April to 30 June;

3. (c)

   by 31 December, information regarding the time period 1 July to 30 September;

4. (d)

   by 31 March, information regarding the time period 1 October to 31 December.

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 3 January 2018.