Articles tagged with: Investment Bank

RTS 1: Equity and Equity Like Transparency

MiFID II prescribes a series of refinements to transparency in equity and equity like instruments. In many cases it either adapts existing concepts (for example, reducing the maximum time that a trade must be published within) or introduces new concepts such as Approved Publication Arrangements (APAs).

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RTS 2: Non Equity Transparency

MiFID II introduces comprehensive pre- and post-trade transparency obligations for a wide range of asset classes outside of equity and equity like instruments. Collectively, the new asset classes in scope for transparency are known as "non-equity instruments". Details of transactions must be published, with some deferrals permitted, and firms that are classified as Systematic Internalisers must publish quotes.

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RTS 3: Double Volume Caps

MiFID II imposes a cap on the usage of the Reference Price and Negotiated Transaction pre-trade transparency waivers. The caps reference total EU on venue volume and are calculated on a per symbol basis at 4% on any particular venue and 8% market-wide in any 12-month rolling period. In Bats' Q2 2016 release, we added a "capped" symbol reference files in each of our trading and reporting environments (BXE, CXE, TRF) that indicates whether such caps apply on specific instruments. This will not be populated in the TRF environment.

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RTS 7: Organisation Requirements for Trading Venues

MiFID II imposes a range of organisational requirements on trading venues that will also impact Participants. Details are provided below:

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RTS 8: Market Making

With the implementation of MiFID II, all firms pursuing an algorithmic market making strategy in a symbol on a trading venue, will be required to sign up to a monitored market making agreement in said symbol on that venue.

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RTS 9: Unexecuted Order to Transaction Ratio

MiFID II/R requires Bats to establish a maximum unexecuted order-to-transaction ratio ("Order to Trade Ratio" or "OTR") as one of its controls to prevent disorderly trading conditions. Bats will implement the OTR on a symbol-by-symbol basis.

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RTS 10: Access Fees

Bats already operates fair and non-discriminatory price structures. Bats Price Lists are always published in full on our website on the price lists page. MiFID II requires all price lists to be within a single document and so these documents will be consolidated prior to MiFID II's implementation date.

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RTS 11: Tick Sizes

All MiFID symbols will move to the prescribed tick sizes on the implementation date. Subject to feedback, symbols currently outside the scope of MiFID (within scope under MiFID II) may be migrated to the prescribed tick tables ahead of implementation date. The tick size requirement will apply to limit prices on orders. It will not apply to executions.

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RTS 13: Organisational Requirements for Data Service Reporting Providers

Bats currently operates a Trade Data Monitor (TDM) and is on the official list maintained by the FCA. Under MiFID II, Bats intends to operate an Approved Publication Arrangement (APA) under our Recognised Investment Exchange status.

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RTS 14: Data Disaggregation

MIFID I, introduced the concept of "reasonable commercial basis" in relation to the provision and sale of market data. Furthermore, MiFID II requires that all trading venues provide pre-trade and post-trade data in an 'unbundled' fashion. Venues will be required to disaggregate their data by the criteria documented in RTS 14.

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RTS 24: Data Required for Record Keeping

MiFID II introduces a requirement for trading venues to record considerable amounts of data throughout the trading day. Some of this information is only available from our Participants. We require:

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RTS 25: Clock Synchronisation

Bats operates with gateway-to-gateway latency of less than one millisecond. This leads, under MiFID II, to a synchronisation requirement of at least one microsecond granularity and up to one hundred microseconds divergence from UTC. It is expected that the majority of Bats participants will require transaction timestamping at a similar precision. Bats has been engaged with FIX Protocol Limited's (FPL) regulatory sub-committee on Clock Synchronisation and notes the recommendation to introduce microsecond capabilities on relevant FIX messages and back-port this to FIX 4.2. Bats provides an opt-in feature to send microsecond level data to customers using the method recommended by FPL. Please contact our Trade Desk to have this enabled. Prior to the MiFID II implementation date, this will change to be an opt-out feature.

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RTS 27: Best Execution

MiFID II defines a requirement for trading venues to provide best execution reports, free of charge and downloadable in a machine readable format. The readability and accessibility of these reports is key, given the intended audience of the public. Bats intends to provide reports in CSV format and will make specification documents available ahead of implementation. The first reports are not required to be published until Q2 2018, but Bats may choose to make them available ahead of this time.

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Algo Testing

MiFID II enacts a range of organisational requirements on trading venues that will also impact Participants.

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