5.VI.2.3.2 Content of the data

MiFID II lays down requirements on the content of the data for the double volume cap calculations. RMs and MTFs are required to send to the responsible NCA: (a) the total volume of trading in the financial instrument executed on that RM/MTF and (b) the total volumes of trading in the financial instrument falling under the reference price and negotiated trade waiver for liquid equity instruments (with total volumes reported separately for each waiver).1 CTPs need to report to the responsible NCA, where requested by the NCA: (i) the total volume of trading in the financial instrument executed on all RMs/MTFs in the EU with total volumes reported separetely for each RM/MTF and (ii) the total volumes of trading executed on all RMs/MTFs in the EU falling under the reference price and negotiated trade waiver for liquid equity instruments.2MiFID II requires RMs, MTFs, and CTPs to only aggregate transactions executed in the same currency and to report separately each aggregated volume in the currency used for the transactions.3 The aim here is to enable calculation in one currency.4

In other words, RMs/MTFs need to report certain post-trade data to the NCA in relation to trading and use of the reference price and negotiated trade waiver in liquid equity instruments on their venue. CTPs need to report, only upon request, certain post-trade data to the NCA about trading and waiver activity on all individual RMs and MTFs combined. The data reported needs to be in one currency to facilitate calculations in the given currency.