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.

Effective with the Q2 2016 release, Bats introduced two new columns ('max_otr_count' and 'max_otr_volume') into its symbol reference file to notify Participants of the maximum permitted OTR on an order-by-order basis and volume basis.

Bats will introduce rules regarding an OTR policy prior to MiFID II/R entry into force, which will form part of an extended consultation. As part of this consultation, effective with the Q4 2016 release, Participants will be able to see a value populated in each of these columns.