The European Securities and Markets Authority has announced that it will publish two new data completeness indicators for trading venues, detailing how venues are performing on the delivery of Double Volume Cap and bond liquidity data in compliance with their obligations under the Markets in Financial Instruments Regulation. ESMA has been working with national regulators to improve the timeliness and completeness of the data underpinning the monthly DVC and quarterly bond liquidity assessment publications. ESMA believes that the new indicators will incentivize trading venues to provide timely and complete data. For both DVC and bond liquidity data, ESMA will introduce the following completeness indicators:

1. The Completeness Ratio, to provide information on the completeness of each particular venue, irrespective of the performance of other venues.
2. The Completeness Shortfall, which will give an indication of a venue’s performance in terms of completeness compared to other trading venues and reflect the percentage of missing data for which a particular venue is responsible.

ESMA will publish the DVC completeness indicators on October 8, 2018 with the next DVC update and then on a monthly basis. It will publish bond liquidity completeness indicators from the next bond liquidity quarterly assessment publication by November 1, 2018 and then on a quarterly basis.

View the ESMA press release.