• MIR 3.5 MIR 3.5 Pre-trade transparency obligations

    • MIR 3.5.1

      Recognised Investment Exchanges shall, in relation to Financial Instruments traded on its systems, make public:

      (a) the information specified in Rule 3.5.4;
      (b) the information specified in Rule 3.5.5; and
      (c) current bid and offer prices and the depth of trading interests at those prices which are advertised through their systems.

    • MIR 3.5.2

      Market operators and investment firms operating a trading venue shall make that information available to the public on a continuous basis during normal trading hours.

    • MIR 3.5.3

      The transparency requirements shall be calibrated for different types of trading systems including continuous auction order-book, quote-driven, periodic auction and hybrid trading systems.

    • MIR 3.5.4 General requirements

      (a) Where the Recognised Investment Exchange operates a continuous auction order book trading system, it shall, for each Financial Instrument, make public continuously throughout its normal trading hours the aggregate number of orders and of the Financial Instruments those orders represent at each price level, for the five best bid and offer price levels.
      (b) Where the Recognised Investment Exchange operates a quote-driven trading system, it shall, for each Financial Instrument, make public continuously throughout its normal trading hours the best bid and offer by price of each market maker in that Financial Instrument, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the Financial Instruments and which indicate the price and volume of Financial Instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time.
      (c) Where the Recognised Investment Exchange operates a periodic auction trading system, it shall, for each Financial Instrument, make public continuously throughout its normal trading hours the price that would best satisfy the system's trading algorithm and the volume that would potentially be executable at that price by participants in that system.
      (d) Where the Recognised Investment Exchange operates a trading system which is not wholly covered by paragraphs (b) or (c) or (d), either because it is a hybrid system falling under more than one of those paragraphs or because the price determination process is of a different nature, it shall maintain a standard of pre-trade transparency that ensures that adequate information is made public as to the price level of orders or quotes for each Financial Instrument, as well as the level of trading interest in that Financial Instrument.

      In particular, the five best bid and offer price levels and/or two-way quotes of each market maker in that Financial Instrument shall be made public, if the characteristics of the price discovery mechanism permit it.
      (e) A summary of the information to be made public in accordance with paragraphs (b) to (e) is specified in the table in Rule 3.5.5.

    • MIR 3.5.5 Information to be made public

      Type of system Description of system Summary of information to be made public
      Continuous auction order book trading system A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with matching buy orders on the basis of the best available price on a continuous basis. The aggregate number of orders and the Financial Instruments they represent at each price level, for at least the five best bid and offer price levels.
      Quote-driven trading system A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of Members and participants to deal in a commercial size and the risk to which the market maker exposes itself. The best bid and offer by price of each market maker in that Financial Instrument, together with the volumes attaching to those prices.
      Periodic auction trading system A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. The price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price.
      Trading system not covered by first three rows A hybrid system falling into two or more of the first three rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by the first three rows. Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two way quotes of each market maker in the Financial Instrument, if the characteristics of the price discovery mechanism so permit.

    • MIR 3.5.6

      A waiver from pre-transparency obligations should not enable investment firms to avoid such obligations in respect of those transactions in liquid Financial Instruments which they conclude on a bilateral basis under the rules of a Recognised Investment Exchange where, if carried out outside the rules of the Recognised Investment Exchange, those transactions would be subject to the requirements to publish quotes.

    • Waivers

      • MIR 3.5.7 Waivers based on market model and type of order or transaction

        Waivers may be granted by the Regulator in respect of shares, depository receipts, ETFs, certificates and other similar Financial Instruments, for any of the following:

        (a) systems matching orders based on a trading methodology by which the price of the Financial Instrument is derived from the trading venue where that Financial Instrument was first admitted to trading or the most relevant market in terms of liquidity, where that reference price is widely published and is regarded by market participants as a reliable reference price;
        (b) systems that formalise negotiated transactions, which are:
        (i) made within the current volume weighted spread reflected on the order book or the quotes of the market makers of the trading venue operating that system, subject to a volume cap to be determined by the Regulator to ensure that the use of this waiver does not unduly harm price formation;
        (ii) in an illiquid share, depository receipt, ETF, certificate or other Financial Instrument that does not fall within the meaning of a liquid market, and are dealt within a percentage of a suitable reference price, being a percentage and a reference price set in advance by the system operator; and
        (iii) subject to conditions other than the current market price of that Financial Instrument;
        (c) orders that are large in scale compared with normal market size; or
        (d) orders held in an order management facility of the Recognised Investment Exchange pending disclosure.

        Waivers may be granted by the Regulator in respect of other Financial Instruments, for any of the following:

        (e) orders that are large in scale compared with normal market size; and orders held in an order management facility of the Recognised Investment Exchange pending disclosure;
        (f) actionable indications of interest in request-for-quote and voice trading systems that are above a size specific to the Financial Instrument, which would expose liquidity providers to undue risk and takes into account whether the relevant market participants are retail or wholesale investors; or
        (g) Financial Instruments for which there is not a liquid market.

      • MIR 3.5.8

        For the purpose of Rule 3.5.7, a negotiated transaction shall mean a transaction involving Members or participants of a Recognised Investment Exchange which is negotiated privately but executed within the Recognised Investment Exchange and where that Member or participant in doing so undertakes one of the following tasks:

        (a) dealing on own account with another Member or participant who acts for the account of a client;
        (b) dealing with another Member or participant, where both are executing orders on own account;
        (c) acting for the account of both the buyer and seller;
        (d) acting for the account of the buyer, where another Member or participant acts for the account of the seller; or
        (e) trading for own account against a client order.

    • References to negotiated transaction

      • MIR 3.5.9

        Transactions related to an individual Financial Instrument in a portfolio trade and volume weighted average price transactions:

        (a) A transaction related to an individual Financial Instrument in a portfolio trade shall be considered, for the purposes of Rule 3.5.7, as a transaction subject to conditions other than the current market price.
        (b) A volume weighted average price transaction shall be considered, for the purposes of Rule 3.5.7, as a transaction subject to conditions other than the current market price.

      • MIR 3.5.10 Waivers in relation to transactions which are large in scale

        An order shall be considered to be large in scale compared with normal market size if it is equal to or larger than the minimum size of order specified in Rule 3.5.11. For the purposes of determining whether an order is large in scale compared to normal market size, all Financial Instruments admitted to trading on a regulated market shall be classified in accordance with their average daily turnover, which shall be calculated in accordance with the procedure set out in Rule 3.5.11.

      • MIR 3.5.11 Orders large in scale compared with normal market size

        Class in terms of average daily turnover (ADT) ADT < €500 000 €500 000 <
        ADT <
        €1 000 000
        €1 000 000 <
        ADT <
        €25 000 000
        €25 000 000 < ADT < €50 000 000 ADT <
        €50 000 000
        Minimum size of order qualifying as large in scale compared with normal market size €50 000 €100 000 €250 000 €400 000 €500 000

      • MIR 3.5.12 Orders large in scale compared with normal market size

        Class in terms of average daily turnover (ADT) ADT < USD 500 000 USD 500 000 < ADT < USD 1 000 000 USD 1 000 000 < ADT < USD 25 000 000 USD 25 000 000 < ADT < USD 50 000 000 ADT > USD 50 000 000
        Minimum size of order qualifying as large in scale compared with normal market size USD 50 000 USD 100 000 USD 250 000 USD 400 000 USD 500 000