18.IV.1.3.8 MiFID II Review: performing calculations and operating databases

The ESMA consultation examines the data-driven MiFID II equity pre- and post-trade transparency regime. MiFID II requires a lot of data to be send to NCAs or ESMA for the sake of the MiFID II equity pre- and post-trade transparency calculations. ESMA states that one clear benefit here is ‘that NCAs and ESMA have more data at their disposal to monitor market developments and assess how the Regulation (MiFIR) is working in practice’.1 There are also downsides. The data-driven nature has made the MiFID II equity pre-trade transparency regime very operational in nature. ESMA proposes to simplify the current MiFID II equity pre-trade transparency regime, in particular the double volume cap mechanism (e.g. publication of double volume cap results after 7 instead of 5 working days from the end of the reporting period).2 Furthermore, ESMA and several market participants identify quality issues with the ESMA IT systems (FIRDS/FITRS).3 ESMA is looking to improve the trading data (e.g. more data granularity in RM/MTF waivers),4 whilst certain market participants believe ESMA should do more, in particular by building a ‘golden source’ of reference data. ESMA is reluctant to do so, since ESMA is not required to build such a golden source (which could potentially change in the future).