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COMPLETENESS INDICATORS

COMPLETENESS INDICATORS

Data completeness indicators for trading venues detailing the delivery of double volume cap (DVC) and bond liquidity data.

    DVC COMPLETENESS INDICATORS

    The DVC completeness indicators file includes for all trading venues which reported DVC data two completeness indicators: (i) the completeness ratio and (ii) the completeness shortfall. Since February 2019, these indicators are calculated on the basis of the calendar year relevant for the DVC publication of the month (please refer to the explanatory note of the DVC completeness indicators file for further information). From the DVC publication of 7 August 2019 onward, the file includes a single list with the indicators for all equity and equity-like instruments, instead of two separate lists, one for liquid shares and one for non-liquid shares and other equity like instruments. The file is updated every month with the new results.

    Both completeness indicators should be considered in order to assess the contribution of a trading venue. The completeness ratio indicates the percentage of reports provided divided by the number of reports expected irrespectively from the number of instruments available for trading on that trading venue. In other words, missing one or a few periods on a large number of instruments, or missing the same number of periods in one instrument only does not change the value of this indicator. This indicator is independent from the number of instruments available for trading on the venue. On the other hand, the completeness shortfall takes into account the number of incomplete ISINs for the trading venue. In other words, missing one or a few periods on a large number of instruments, increases the value of this indicator. 

     

     

    File

    Observation period start date

    Observation period end date

    Last update published

    [LINK

    1 September 2018

    31August 2019

    7 October 2019

     

    From February 2019 onwards, instruments are not present in the DVC system if the RCA-MIC of that instrument (as defined in FIRDS) has not provided the FITRS reference data for that instrument. This is due to changes to the FITRS system. As a result, completeness for these instruments is not reflected in the calculation of the indicators.

    BOND LIQUIDITY COMPLETENESS INDICATORS

    The Bonds liquidity completeness indicators file includes for all trading venues which reported bond liquidity data two completeness indicators: (i) the completeness ratio and (ii) the completeness shortfall. These indicators are calculated on the basis of the data reported for the relevant quarter used for the quarterly liquidity assessment publication. The file is updated every quarter with the new results. 

    The liquidity assessment of a bond is based on the trading activity executed on that bond on trading venues, systematic internalisers (SIs) and OTC. Please note that, the analysis of the completeness of data can only be performed with regard to trading venues where the period from which data is expected to be received for that bond-trading venue combination, can be determined. This period is defined by the “date of admission to trading or date of first trade” and “termination date” of the instrument on the trading venue, as submitted to the reference data system (FIRDS). 

    Both completeness indicators should be considered in order to assess the contribution of a trading venue. The completeness ratio indicates the percentage of reports provided divided by the number of reports expected irrespectively from the number of instruments available for trading on that trading venue. In other words, missing one or a few periods on a large number of instruments, or missing the same number of periods in one instrument only does not change the value of this indicator. This indicator is independent from the number of instruments available for trading on the venue. On the other hand, the completeness shortfall takes into account the number of incomplete ISINs for the trading venue. In other words, missing one or a few periods on a large number of instruments, increases the value of this indicator. 

     

    File

    Observation period start date

    Observation period end date

    Last update published

    [LINK

    1 April 2019

    30 June 2019

    1 August 2019 

    BACKGROUND

    On 27 September 2018 ESMA announced details of two new data completeness indicators for trading venues detailing the delivery of double volume cap (DVC) and bond liquidity data. The two indicators – the Completeness Ratio and the Completeness Shortfall – will assist trading venues in delivering complete and accurate data on a timely basis, by providing performance information on the timeliness and completeness of their data provision. 

    DISCLAIMER

    ESMA publishes the information with utmost care and to the best of its ability on the basis of the data provided by trading venues and National Competent Authorities regarding equity, equity-like and bond instruments. Therefore, ESMA has to rely on the trading venues and National Competent Authorities in respect of the completeness and accuracy of the submitted data. In addition, delays in the provision of the relevant data may affect the completeness and accuracy of the published information.

    The publication of the information on this website does not prejudice the results of verifications on the completeness and correctness of the transposition of EU law into national law.

    These lists also contain data related to European Economic Area (EEA) / European Free Trade Association (EFTA) States based on the notifications received by ESMA, the publication of which does not affect the status of incorporation of relevant EU law into the EEA Agreement and any related legal consequences.