Q&A · ESMA

Direct Electronic Access (DEA) and algorithmic trading - Article 19 of CDR 2017/565 - high frequency trading techniques tests

Answered

Read the official text on the ESMA website(opens in a new tab)

AI-generated Summary

For the high-frequency trading tests in Article 19 of Delegated Regulation 2017/565, firms calculate the message-rate indicator per instrument over its trading hours, sum the indicators across all relevant instruments on a venue for the second test, and apply them only to instruments ESMA lists as liquid at the time.

Details

Reference	ESMA_QA_1487
Issuer	ESMA
Published	1 Feb 2019
Answered	1 Feb 2019
Submitted	1 Feb 2019
ESMA topics	Direct Electronic Access and algorithmic trading
Earlier Q&A document	ESMA 70-872942901-38 MiFID II MiFIR market structures Q&A, Q&A 3.30

Provisions it relates to

Article 4 MiFID II · Definitions
MiFID II
Inferred · 80%
MiFID II (whole act)
Explicit reference

Documents it refers to

Delegated actIn forceExplicit reference
Commission Delegated Regulation (EU) 2017/565 of 25 April 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council as regards organisational requirements and operating conditions for investment firms and defined terms for the purposes of that Directive
European Commission · 31 Mar 2017 · EUR-Lex
AI summaryThe main MiFID II Delegated Regulation: defines key terms (such as investment advice, systematic internaliser, algorithmic and high-frequency trading, and direct electronic access) and sets detailed organisational requirements and operating conditions for investment firms, including compliance, conflicts of interest, remuneration, client information, suitability and appropriateness, best execution, client order handling, reporting to clients, record keeping and transaction-level obligations.