5.VI.2.1 General

The MiFID II equity pre-trade transparency regime relies on calculations and estimates. Similar to MiFID I, calculations and estimates are necessary to determine: (1) a ‘liquid market’, (2) the related standard market size (both relevant for the SI publication obligations), and (3) whether orders are ‘large in scale’ (relevant for the large in scale-waiver for RMs/MTFs and investment firms outside such venues in relation to client limit orders). New under MiFID II is that the equity calculations/estimates need to be made for a broader range of instruments, namely shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on an RM/MTF (MiFID I was confined to shares admitted to trading on an RM).1 New under MiFID II is also that calculations need to be made for: (a) the double volume cap (relevant for two RM/MTF waivers), (b) the SI-definition (quantitative elements), and (c) the tick size (relevant for the RM/MTF/SI equity pre-trade transparency rules). Besides the double volume cap (ESMA), MiFID II requires the NCAs to perform the calculations/estimates. Many NCAs (not: all) have delegated their MiFID II calculation/estimation tasks, including the related data collection, to ESMA (so-called ‘delegating NCAs’).2 This means that where the MiFID II text refers to NCAs, ESMA will often perform the calculation/estimate in practice.