Will you be implementing the ESMA table set out in the Annex to RTS 11?
How frequently will you update tick sizes for an instrument?
We will reflect the MIFID tick, which is a function of Average Daily Number of Transactions and price. The ADNT is set annually, but the price can move around. So the actual tick will change when the price moves up or down through the price boundaries on the table in the annex to RTS 11. It should only move left or right through the liquidity bands once a year, unless there is a corporate action.
When will the initial ADNT be made available?
We have been told that ESMA and the NCAs will be publishing transitional values on 6 December.
When will the MiFID II tick size data be available in the CXE and BXE Tick Size files for production?
On the day they become effective. We will follow the tick of the Most Relevant Market. Changes are likely to occur on Tuesday 2nd or Wednesday 3rd January 2018.
Will you align the tick size applicable on your market with the primary market? If so, how quickly will you be able to do this after 3 January 2018?
Yes. Technically both we and they will be following the MiFID tick table, but in practice we will switch when the Most Relevant Market does (with the exception of Swiss).
Which ADNT value should be used for IPOs, Re-listings, de-mergers etc. where the product will be treated as a new listing?
ADNT values will be published on the ESMA register following the estimate and subsequently after the calculations performed by the relevant NCA following the first submission of trading data from the Most Relevant Market.
Can you provide a list of ETFs that will not follow the new regime? What Tick Size will such ETFs follow after MiFID-II go-live?
All ETFs are subject to the MiFID II tick size regime.
However, for ETCs and ETNs, which are not, Cboe will follow the tick size of the listing market for any given symbol.
Will you include SMS values in your symbol files?
Iceberg Order Type Behaviour:
How will the Cboe Iceberg Order Type change with MiFID II?
Effective from Tuesday, 2nd January 2018, Cboe will introduce a minimum initial order size for icebergs of €10,000. Any orders entered below this size will be rejected.
All Iceberg order executions will be disseminated on market data as lit executions. Having said that, iceberg ‘reserve' executions will continue to be billed at the iceberg reserve rate.
In the event of multiple iceberg orders being present on the order book, incoming orders will cycle between the reserves as the tips continuously reload and alternate in priority as they are continuously re-inserted. This will ensure an Iceberg Order does not maintain priority against another on the same price level.
Cboe will be introducing a ratio of 100 between the tip size and total volume of an iceberg order. Any orders that do not adhere to this ratio will be rejected. In practice, this results in a minimum tip size of (eqv.) 100 EUR.
With regards to the Iceberg Order Type, which FX rate does Cboe use for validation?
Cboe uses the ESMA annual rates.
Should we be monitoring & entering into agreements separately between BXE and CXE environments for these agreements? i.e. could I be a market maker on SIEd on BXE, but not on CXE ?
BXE and CXE are two environments which belong to the same trading venue [MTF or RM depending on the symbol]
The RTS 8 obligation is on a venue level, thus being signed up to Liquidity Provider Program 3 in either environment satisfies the venue requirement.
Will Cboe issue a sanction/penalty if we fail to meet the MM requirement?
Cboe will suspend Participants from LPP3 in a given instrument for 30 days if they are in breach of their obligations for two months in a row in that instrument.
Cboe will inform you in the event of suspension from the liquidity provider program.
How will Cboe notify us of stressed market conditions?
Cboe does not provide incentives for its Liquidity Provider Programs and consequently does not apply any improved incentives during stressed market conditions.
Thus we do not apply, nor communicate the concept of stressed market conditions at all.
What are the impacts of stressed markets on MM obligations?
Will Cboe monitor for when we approach the 50% threshold and need to register/deregister as a MM?
No. Based on guidance from the regulator, Cboe will not be conducting any monitoring of Participant activity in order to assess if their activity triggers a requirement for them to sign up for a scheme as per RTS 8.
Are there published methodologies for measuring the 50% threshold for a MM?
"For Program 3, presence is calculated as the time that the Liquidity Provider Program is active and a Liquidity Provider posting simultaneous two-way quotes of comparable size within specified price. Comparable size is defined as not diverging by more than 50% from each other."
Order to Trade Ratio:
What is the methodology you will use for the calculation of unexecuted order to trade ratios?
Cboe uses the ESMA methodology to capture firms Order to Trade Ratio as described in RTS 9.
What are the limit(s) for unexecuted order volumes to trades?
How is my performance against the OTR threshold measured?
Monitoring of Participants' compliance with the OTR policy is performed by Cboe on a symbol by symbol basis. A Participant's OTR is measured on a firm level at the end of each daily trading session.
Order Record Keeping:
What time do we need to send the long/short code mapping file to you for trades done that day?
Data must be provided by 18:00 on the day in which a short code was utilised. More information is available in the MiFID II Identifier Management Specification.
Do I need to upload all my short-code to long-code mappings every day?
No, previous registrations carry across to future dates; you only need to tell Cboe about changes.
More information is available in the MiFID II Identifier Management Specification.
Will my order be rejected if it is lacking ORK tags?
Whilst Cboe Europe will verify whether identifiers are supplied on orders, Cboe Europe will not, at least initially, reject orders in real-time in the event of missing short code or the use of unregistered short codes. The validation will be conducted out of band and Participants will have until end of day of the current trading session to register any missing long codes. Cboe will be monitoring Participant compliance with populating the relevant information as described in Rule 11.9 in the updated (under consultation) Rule Book and will issue warning letters for breaches. Cboe intend to impose financial penalties for Order Record Keeping requirements failure at some point during 2018, the level of fixed penalty fines will be notified in due course.
The Cboe Disciplinary Policy will be updated in the light of MiFID II, including Order Record Keeping obligation failures, and it is to be published at the end of November under the Regulatory section of the Cboe Document Library.
I would like to know what would you accept in long codes, is it encrypted or non-encrypted data?
Participants need to supply the long code in an unencrypted form in the file. The transport mechanism and storage of the file upload will be encrypted.
Large In Scale:
Does Cboe publish the LIS for all symbols in their static data?
Yes the LIS value (lis_local) is populated within the Cboe symbol reference file published on the Cboe website under Reference Data.
Are LIS Exchange Trade Reports subject to the Negotiated Trade Waiver check (VWAS etc?)
No, LIS ETRs are not required to meet the NTW.
What FX rate does Cboe use for the LIS calculation currently and will this be the same going forward into MiFID II?
Cboe uses the official ESMA annual rates for RTS 1 instruments i.e. shares, DRs and ETFs and will continue to do so.
Cboe will use the ECB annual rate (as dictated by RTS 2) for ETCs and ETNs. Double Volume Cap:
How will Cboe communicate when an instrument is capped?
In preparation for MiFID II, Cboe introduced a "capped" column in the daily Symbol File.
The value indicates when a Double Volume Cap is in place. This might be regulatory driven or voluntarily entered into by Cboe. The values are:
0 = No cap in place.
1 = Capped voluntarily by Cboe without instruction from the FCA.
2 = Capped as per instruction from the FCA.
3 = Not yet subject to the Double Volume Caps or Double Volume Caps do not apply.
How does the Cboe ‘self-capping’ work?
In preparation for MiFID II, Cboe introduced a "venue_cap_percentage" column in the daily Symbol File.
The value indicates the approximate double volume cap usage on the Cboe venue expressed as a percentage of trading across all European venues as of the previous trading day.
The calculation includes the reference Price and Negotiated Transactions pre-trade transparency waiver usage for the previous eleven months and the current month to date combined. Please note that the usage is calculated at the venue level and therefore the value will be the same across BXE and CXE.
If Cboe will trigger a ‘self-cap’ at the EOD if an un-capped symbol reach a venue cap percentage of 4% intermonth. The behaviour was implemented on a best efforts basis of not breaching the Double Volume Caps and limit the risk of Cboe triggering a more extensive venue specific regulatory cap. Please note that Cboe does not measure the venue cap percentage in real-time and will not impose a ‘self-cap’ intra-day.
The initial approach to ‘self-capping’ will result in a cap set in place until the end of the month and the un-cap date will be communicated in the "venue_uncap_date".
How will Cboe communicate when an instrument is un-capped?
In preparation for MiFID II, Cboe introduced a "venue_uncap_date" column in the daily Symbol File.
When a symbol is capped, this column indicate the estimated date the cap will be removed. If no cap is in place this column will be blank.
Reference Price Waiver what is the most relevant market determination we will use for dual listed stocks?
This issue is with ESMA currently, we understand that there is likely to be a Q&A soon. In the absence of anything in that Q&A saying we can’t, we will continue to treat each line as a separate instrument and refer to the relevant home market e.g. Nasdaq Stockholm for the Astra Zeneca SEK line.
Will the microsecond change be integrated to the TCP PITCH protocol?
No, the microsecond change will not affect TCP PITCH.