On September 27, the European Securities and Market Authority (“ESMA“) published a press release announcing two new data completeness indicators for trading venues detailing the delivery of double volume cap (“DVC“) and bond liquidity data.

The two new indicators are:

• The completeness ratio:
  • this provides information on the completeness of a particular venue taken in isolation, irrespective of the performance of other venues. It is calculated as the number of records received from a venue divided by the total number of records expected from that venue over the relevant period. One record corresponds to a bi-weekly report on completeness for the DVC and to a one-day report on completeness for bond liquidity.
• The completeness shortfall:
  • this gives an indication of a venue’s performance in terms of completeness compared to other trading venues. It reflects the percentage of missing data for which a particular venue is responsible.

ESMA will publish one file containing trading venue identification information and quantitative information.

The two indicators will assist trading venues in delivering complete and accurate data on a timely basis. This is by providing performance information on how complete and the timeliness of their data provision. ESMA will publish them for the first time on October 8, 2018 for DVC data, and by November 1, 2018 for bond liquidity data. They will be for all venues covered by DVC and bond data reporting.

ESMA considers that the provision of timely, complete and accurate data is essential for the proper implementation of the Markets in Financial Instruments Regulation (Regulation 600/2014) (“MiFIR“) and compliance with its requirements.