4.II.1.5.5 Minimum set of equity pre-trade data to publish

A related change under MiFID I was the introduction of harmonised rules on the actual pre-trade data that RMs and MTFs needed to publish. In contrast to the ISD, MiFID I required to specify the amount of pre-trade data per trading model through Level 2 measures. CESR assisted the Commission in drafting the level 2 rules. Originally, CESR proposed to require all bids, offers and quotes in all different trading models to be made public, that is – the full order book and all quotes. Respondents to CESR’s consultation widely criticized the idea. Two arguments were made. First, the requirement was seen as especially unsuited to periodic auctions, where bids and offers were used to form an indicative price or price range.1 Second, the requirement to make public all pre-trade information was seen as unnecessary. There was no demand for this information. It was argued that beyond a limited number of bids, offers and quotes, no more pre-trade data was deemed necessary.2

The criticism the respondents was taken into account in CESR’s final advice to the Commission. CESR advised a ‘minimum level of pre-trade information’ to be made available.3 CESR noted that the display of a minimum of five different price levels in order-driven models would adequately serve the interests of the public. In periodic auctions, the publication of the indicative equilibrium price and the indicative volume were considered to be sufficient.4 For quote driven systems, CESR proposed RMs and MTFs to make public information on the best bid and offer currently available, together with the best bid and offer (price and volume) of each market maker in that share.5 For trading systems other than periodic auctions, continuous order-driven and quote-driven markets, CESR suggested comparable pre-trade data to be displayed.6 The Commission adopted CESR’s recommendations. The MiFID I Implementing Regulation was similar to the final position of CESR. RMs and MTFs could, but were not required to, publish equity pre-trade data beyond the MiFID I standards (e.g. publish the full order book).