2019-10-04

ESMA Opinion on Frequent Batch Auctions and the Double Volume Cap Mechanism

ESMA issues this opinion to clarify the application of pre-trade transparency requirements and price determination processes for frequent batch auction (FBA) systems under MiFID II and MiFIR. The regulator mandates that trading venues initiating auctions upon the first order must inform market participants of the start and publish indicative prices and volumes once a potential match is identified. Furthermore, ESMA defines specific functionalities, such as pegged orders and certain price band limitations, as non-price forming, thereby allowing these systems to operate under pre-trade transparency waivers subject to the double volume cap mechanism.

European Union

European Securities and Markets Authority

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