Einde inhoudsopgave
EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/10.III.2
10.III.2 Consolidated quote
mr. J.E.C. Gulyás, datum 01-02-2021
- Datum
01-02-2021
- Auteur
mr. J.E.C. Gulyás
- JCDI
JCDI:ADS266913:1
- Vakgebied(en)
Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht
Voetnoten
Voetnoten
This definition is based on CEPS, MiFID 2.0: Casting New Light on Europe’s Capital Markets, 2011, p. 76.
See Commission, Glossary of useful terms linked to financial markets, under ‘transparency’ and ‘consolidated tape’, May 2015, p. 4-5 and p. 17. It should be noted that MiFID II, somewhat confusingly, also distinguishes between different types of trading systems, including ‘continuous order-driven’, ‘continuous quote-driven’, ‘request-for-quote periodic auction’, and so forth, whereas ‘orders’ are associated with order-driven systems, and ‘quotes’ with the other systems mentioned (Annex I with respect to Article 2 MiFID II Implementing Regulation 2017/571). In the context of a consolidated quote, the term ‘quote’ includes both ‘orders’ and ‘quotes’ referred to in these MiFID II trading systems (see also CEPS, MiFID 2.0: Casting New Light on Europe’s Capital Markets, 2011, p. 76).
CEPS, MiFID 2.0: Casting New Light on Europe’s Capital Markets, 2011, p. 65. In the U.S, ever since the mid-1970s, the so-called Consolidated Quotation System collects and disseminates trading opportunities (pre-trade information) for financial instruments listed on several exchanges in one place. The Consolidated Quotation System gives the so-called National Bid and Offer (NBBO), which is the U.S. equivalent of the EBBO. Reference is made to CEPS, MiFID 2.0: Casting New Light on Europe’s Capital Markets, 2011, p. 82-83.
Source D. Valiante, Accessing and processing MiFID data: the law and economics of financial market data, European University Institute, Florence School of Banking and Finance, 2019.
Related to the consolidated tape is the concept of a ‘consolidated quote’. A consolidated quote refers to (1) the collection of pre-trade data from multiple venues or a specific market segment and (2) the publication of such information in one place.1 The term ‘quote’ must in this context be understood in a broad sense, namely as ‘the disclosure of information related prices quoted (i.e. pre-trade information)’.2 A consolidated quote for the European equity markets should potentially offer equity pre-trade data of all EEA trading platforms (e.g. RMs and SIs).3
Example of a consolidated quote (in this case for Cisco Systems).4 The consolidated quote of this example shows, among other things, the venue (e.g. Bats), price, size (depth), the cumulative size (market depth), and the average price for both the bid (buy) and ask (sell) orders on/at which Cisco Systems can be traded.