4.V.1.3.1 Level 1 text: performing standard market size calculations

By introducing rules on how to calculate ‘large in scale orders’ and a ‘liquid market’, MiFID I created common (harmonised) operational tasks for the NCAs. The MiFID I Directive (Level 1 text) provided only little guidance on how to perform the calculations (or estimates) relevant for the MiFID I equity pre-trade transparency regime. The MiFID I Directive only noted in the context of the standard market size (relevant for the SI firm quote obligation) that the ‘competent authority of the most relevant market in terms of liquidity as defined in Article 25 (transaction reporting) for (e)ach share shall determine at least annually, on the basis of the arithmetic average value of the orders executed in the market in respect of that share, the class of shares to which it belongs (excluding large orders from the calculation)’ (brackets added).1 Besides the standard market size, the MiFID I Directive provided no provisions on how the calculations (or estimates) needed to be performed in practice.