MiFID II and MiFIR empower the European Securities and Markets Authority (ESMA) to develop numerous draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS). ESMA delivered three sets of Technical Standards:
Here is an overview of MiFID II/MiFIR Technical Standards and their main impacts.
Pre- and post-trade transparency regime for EU financial markets
Waivers for equity and equity-like instruments
Competent authorities can waive the obligation for trading venues to make pre-trade information public for:
Both RPW and NTW regimes are subject to the Double Volume Cap (DVC) mechanism.
We have reviewed existing waivers and applied for new waivers, as shown in LuxSE Rules and Regulations.
Pre- and post-trade transparency regime for EU financial markets
Waivers for non-equity instruments
The new non-equity instruments transparency regime also allows for waivers. Competent authorities can waive the obligation for trading venues to make pre-trade information public for the following:
We have reviewed existing waivers and applied for new waivers, as shown in LuxSE Rules and Regulations.
Volume cap mechanism and provision of information for the purposes of transparency and other calculations
MiFID II introduces a double volume cap mechanism limiting the scope of trading under the Reference Price and Negotiated Deal waivers. Volumes traded under these waivers will be capped at 4% per share on a single venue and 8% across all EU trading venues.
Criteria for determining whether derivatives subject to the clearing obligation should be subject to the trading obligation
Technical Standards adopted by the European CommissionDirect, substantial and foreseeable effect of derivative contracts within the EU
Technical Standards adopted by the European CommissionSpecifying the organisational requirements of investment firms engaged in algorithmic trading
Technical Standards adopted by the European CommissionSpecifying organisational requirements of facilities trading venues allowances and derivatives
Technical Standards adopted by the European CommissionSpecifying the requirements on market making agreements and schemes
We adjusted our policies on market making management to ensure that they comply with MiFID II framework, as follows:
Ratio of unexecuted orders to transactions
Introduced by Market Abuse Regulation and as set forth by this RTS, trading venues must put in place a number of systems, procedures and arrangements to ensure that algorithmic trading systems do not create disorderly trading conditions and to limit the ratio of unexecuted orders to transactions (‘Order to Trade Ratio’ or ‘OTR’).
We calculate and monitor the OTR per member and per financial instrument on the basis of both volumes and numbers, following the methodology described by this RTS.
We may set maximum OTRs at the levels we see as appropriate to prevent disorderly trading conditions. We will therefore make sure we accommodate market practices as much as possible.
Requirements to ensure fair and non-discriminatory co-location services and fee structures
Technical Standards adopted by the European CommissionTick size regime for shares, depositary receipts and exchange-traded funds
With the adoption of this RTS, MiFID II introduces a minimum tick size across the EU for all EU shares and ETFs based on EU shares. The minimum tick size for each instrument is determined as a function of price of the order submitted and the liquidity profile of the financial instrument traded, except for ETFs, which have all been included in the most liquid category and for which the tick size will solely be a function of price.
The instruments’ liquidity profile is calculated annually and the results will be published on ESMA's website to allow trading venues to adapt their tick size to the new MiFID II requirements.
The application of the new minimum tick size regime extends to all orders submitted to trading venues and aims at ensuring the orderly functioning of the market.
In line with ESMA Questions and Answers on MiFID II/MiFIR market structures topics, in particular Q&A 7 on tick size, we will systematically cancel the remaining orders in the Central Order Book (T-1 after the closing of the markets) when a financial instrument changes the tick size regime. Members will be informed by email in due course.
For more information on tick size, check the Appendix to the Trading Manual.
Determination of a material market in terms of liquidity relating to halt notifications
Technical Standards adopted by the European CommissionAuthorisation, organisational requirements and the publication of transactions for data reporting services providers
Technical Standards adopted by the European CommissionSpecification of the offering of pre- and post-trade data and the level of disaggregation of data
MiFID II requires trading venues to unbundle pre- and post-trade data and to provide further disaggregation of data, upon client request, based on a number of criteria such as asset class and country of issue. Trading venues are also be required to make this data available on a reasonable commercial basis.
As of January 2018, we offer real time and delayed market data services at a more granular level based on client demand. Appropriate fee schemes for the new packages were implemented.
The Market Data Product Descriptions and Fee Structure reflecting these changes can be found on the Data Product Range page.
A market data contract is required by clients who wish to subscribe to these services. A contract may be requested from Market Data Services at:
Clearing access regarding trading venues and central counterparties
Technical Standards adopted by the European CommissionAdmission of financial instruments to trading on regulated markets
MiFID II makes it compulsory for regulated markets to adopt and publish on their website procedures to verify issuers’ compliance with EU Law mainly in respect of initial, ongoing or ad hoc disclosure duties.
The allocation of supervisory responsibilities shall not conflict with the regime foreseen in other pieces of legislation, e.g. Market Abuse Regulation, assigning the supervisory competences to national competent authorities.
Suspension and removal of financial instruments from trading reporting services providers
MiFID II allows the suspension and removal from trading of a financial instrument which no longer complies with the rules of trading venues, unless such suspension or removal would be likely to cause significant damage to the investors’ interests or the orderly functioning of the market.
LuxSE Rules and Regulations were updated accordingly.
Description of the functioning of MTFs and OTFs
Technical Standards adopted by the European CommissionCriteria to establish when an activity is considered to be ancillary to the main business
Technical Standards adopted by the European CommissionApplication of position limits to commodity derivatives
MiFID II requires trading venues to publish a weekly report with the aggregate positions held by the different categories of market participants for the various commodity derivatives traded on the venue. The report should contain information on the number of long and short positions held, the percentage of open interest represented by each category, and the number of market participants holding a position in each category.
Trading venues are also required to provide competent authorities with a breakdown of the positions held by all persons on the venue on a daily basis.
We limit the size of issues, listings or admissions to trading on securitised derivatives that are indexed to a commodity underlying, a commodity index underlying or any underlying with a commodity component to 2.5 m units per ISIN code.
LuxSE Rules and Regulations were amended accordingly.
Reporting of transactions to competent authorities
Trading members that are performing transactions in listed financial instruments admitted to trading on a regulated market are obliged to report the details of such transactions to the competent authority as quickly as possible, and no later than the close of the following working day.
This RTS governs only transactions (i.e. trades made under the LuxSE Rules & Regulations) and extends without prejudice to the trade reporting obligations set forth under MiFID II Article 25.
Trading members are obliged to use the current Trading Venue Transaction Identification Code (TVTIC) to report their trades to the competent authority.
The current TVTIC is the concatenation of:
For further information, please contact:
Supply of financial instruments reference data
Trading venues have to provide competent authorities with financial instruments reference data for the purpose of transaction reporting. The new rules require daily submission of data for all financial instruments that are admitted to trading, that are traded during that day or for which a request for admission to trading has been made.
Trading venues shall ensure that Legal Entity Identifiers (LEI) provided in the reference data are listed in the Global Legal Entity Identifier database. Therefore, we are obliged to collect a LEI from all issuers of securities admitted to trading on the markets we operate.
To obtain a LEI code, please contact us at:
Maintenance of relevant data relating to orders in financial instruments
Trading venues are required to collect, store and, where relevant, report order-related information for the purpose of order record keeping requirements under this RTS.
To identify the relevant parties to an order, we request members to submit the relevant details (Client identification code - Investment decision within firm code - Execution within firm code - Non executing broker code) upon order entry using the existing fields FreeText and ClientID. Members who are unable to use these fields can submit the necessary information for each order in a flat file at the end of the day through an upload functionality made available via the dedicated Short Long Code (SLC) Manager. This solution allows members to register and manage the mapping between the short codes used in order entry messages and the associated long codes that are used for the reporting to the regulators.
We also require members to submit a mapping between short codes and corresponding long codes via SLC Manager.
For the purposes of transaction reporting to regulators, as well as Kill Switch and Order Storage, members and trading participants are required to supply new fields in all order messages, including specifying the party that initiated the order, as well as an algo identification when relevant.
New fields required at the order entry level or the end-of-day reconciliation are:
Specifying the obligation to clear derivatives traded on regulated markets and timing of acceptance for clearing (STP)
Technical Standards adopted by the European CommissionData to be provided by execution venues on the quality of execution of transactions
All execution venues, i.e. SIs, Market Makers and Liquidity Providers, in addition to trading venues, have to provide quarterly reports concerning execution quality both to the public as well as to their clients. These include information such as price, costs, speed and likelihood of execution for individual financial instruments.
All our best execution reports will be provided on our website and will be downloadable in machine readable format.
Annual publication by investment firms of information on the identity of execution venues and on the quality of execution
Technical Standards adopted by the European Commission