RTS 27: Best Execution

MiFID II defines a requirement for trading venues to provide best execution reports, free of charge and downloadable in a machine readable format. The readability and accessibility of these reports is key, given the intended audience of the public. Cboe intends to provide reports in CSV format and will make specification documents available ahead of implementation. The first reports are not required to be published until Q2 2018, but Cboe may choose to make them available ahead of this time.

Some reports require data on an intraday basis, with reference to a specific point in time. Cboe does not believe these times to refer to elements that might be regarded as reportable events, as defined in RTS 25 on Clock Synchronisation. However, it is noted that in order to produce the data required in the reports, Cboe will likely rely upon data recorded at a level of granularity and variance in accordance with the Clock Synchronisation requirements.

Cboe is required to produce the following series of reports, generally repeated for each segment MIC operated:

General Information

Trading Interruptions

Information about any outages, auctions or failed transactions experienced by financial instruments available to trade on Cboe.

Instrument Reference Data

Generic reference data on financial instruments available to trade on Cboe. It is noted that Cboe already provides reference data for customers (see details within our Reference Data section) and will be taking steps to make the reference data available on a historical basis. Notwithstanding this, a separate report in the format required will be made available for Best Execution purposes.

Price

Intra-day

A report that looks at average prices and total values transacted in financial instruments for the two minutes after four specific points in time in the trading day. When no transactions occur in this period, the data will reflect the next following transactions. These reference times are defined in UTC, so vary at their point in time of the trading day and with reference to market events (like the US market open) throughout the year as daylight savings change local times throughout the world. Consumers seeking to make decisions off the back of these reports should accommodate such variance.

Daily

A report that details high, low and average prices achieved in financial instruments over the course of the trading day.

Costs

A report that collates fees, rebates, discounts, taxes and other payments associated with a financial security. These fees are only expressed where the trading venue has sight of such fee and can reasonably include it. For example, Cboe operates a competitive third party clearing model and therefore does not have sight into any caps or tiers a Participant may be eligible for and accordingly, will not include detail on clearing costs or charges.

Likelihood of Execution

A report that provides information about the activity of financial securities, which is intended to help investors determine the likelihood of achieving execution within that market. It provides details upon the number of orders entered, modified or cancelled; number, value and median size of transactions executed; median size of orders entered and the number of registered market makers. Cboe provides details on market maker registrations, should that be of interest, from our Liquidity Provider page.

Book Analytics

Detail about the best prices and depth of the order book for financial securities available to trade on Cboe at four specific points in time during the trading day. These reference times are defined in UTC, so vary at their point in time of the trading day and with reference to market events (like the US market open) throughout the year as daylight savings changes local times throughout the world. Consumers seeking to make decisions in reliance of these reports should accommodate such variance.

Spread Analytics

This report provides detail about spreads (both effective and inside); depth (both for three ticks and at the inside); order modifications and cancellations at the touch; average execution times at the touch; performance of IOC or FOK orders; utilisation of the various pre-trade transparency waivers; and details about trading interruptions or suspensions that may have occurred in financial securities available to trade on Cboe.

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