RTS 8: Market Making

With the implementation of MiFID II, all firms pursuing an algorithmic market making strategy in a symbol on a trading venue, will be required to sign up to a monitored market making agreement in said symbol on that venue.

Cboe currently operates two liquidity provision programmes ("LPP"). The requirements of both programmes exceed MiFID II/R requirements and will likely continue to operate as they do currently. Following a successful consultation, Cboe will introduce a third programme to meet the MiFID II/R standards. This programme is for firms wishing to provide liquidity across Cboe platforms and find the current program requirements too demanding. Details as below:

  REQUIRED SIZE SPECIFIED PRICE % REQUIRED TIME %
Program 3 None 2%** 50%

**The bids and offers have to be of comparable size where “comparable size” is defined as not diverging more than 50% from each other.

Historically, the list of eligible symbols was driven by membership of major indices. Cboe has expanded this to also cover all liquid shares and equity like instruments. Effective with MiFID II implementation, Cboe will remove the index membership method of inclusion within the programme.

Effective with the Q4 2016 release, the functionality of the new program will be available in Production, allowing Participants to register and monitor performance against the programme’s requirements. The programme will not be incorporated in the Participant Manual, nor will Cboe monitor or enforce the program until a successful participant consultation have been made and at a date closer to MiFID II/R entry into force.

As part of the record keeping requirement, participation will require the use of the Liquidity Provision flag (LiqProvOnly=1) to indicate when orders are a part of liquidity provision activity. Only orders flagged in this manner will be used when monitoring conformance to the requirements of the LPP.