On September 27, the European Securities and Markets Authority (ESMA) published a press release announcing two new data completeness indicators for trading venues relating to the delivery of double volume cap (DVC) and bond liquidity data.
DVC and bond liquidity data are required form trading venues for transparency purposes pursuant to the revised Markets in Financial Instruments Directive. ESMA is introducing the measures due to the timeliness of such data remaining “unsatisfactory” and due to “significant” data completeness issues.
The two new indicators are:
- the completeness ratio, which provides information on the completeness of a particular trading venue’s data, irrespective of the performance of other trading venues. The completeness ratio is calculated as the number of records received from a trading venue divided by the total number of records expected from that venue over the relevant period; and
- the completeness shortfall, which gives an indication of a trading venue’s performance in terms of completeness compared to other trading venues. It reflects the percentage of missing data for which a particular trading venue is responsible across the entirety of the data set.
ESMA will publish the completeness ratio and completeness shortfall for the first time on October 8 for DVC data, and by November 1 for bond liquidity data.
The press release is available here.