4.V.1.3.3 CESR guidance of 2007: performing the calculation of the average daily turnover and average daily number of transactions

The MiFID I Directive and MiFID I Implementing Regulation stated nothing about how the data for the calculations/estimates of the (i) average daily turnover (relevant for ‘large in scale orders’/a ‘liquid market’) and (ii) average daily number of transactions (relevant for a ‘liquid market’) needed to be collected. CESR provided guidance in 2007 by stating that the data would be available to the responsible NCA ‘on the basis of the transaction reporting according to Article 25’.1 In other words, CESR suggested a similar approach for data collecting as for the standard market size, namely on the basis of ‘transaction reporting data’ (certain post-trade data) made available to the NCA under the MiFID I transaction reporting requirements (see paragraph above). CESR also provided the calculation methodology for the average daily turnover and average daily number of transactions.2 CESR’s guidance reflected the aim to ensure a common understanding of how the calculations needed to be performed across the EU.