ESMA delays publication of double volume cap data

MiFID Firms

On 9 January 2018, the European Securities and Markets Authority (ESMA) decided to delay the publication of the data on the double volume cap (DVC) mechanism for January 2018. The current quality and completeness of the data does not allow for a sufficiently meaningful and comprehensive publication of double volume cap calculations, as required under MiFID II/MiFIR, and ESMA has taken this decision to avoid creating an unlevel playing field.

Since 3 January, ESMA has been performing an analysis of the quality and completeness of the data received from trading venues to perform DVC calculations. Based on the analysis performed, ESMA realised that the publication would have resulted in a biased picture covering only a very limited number of instruments and markets.


ESMA is aware of the legal obligation to apply the DVC from January 2018. However, as the publication of the calculations triggers other legal obligations in terms of transparency waivers’ suspensions related to dark trading, initiating the new regime based on the insufficient data ESMA has received is not appropriate at this stage.


It expects that the actions initiated to bridge this information gap, involving working with national competent authorities (NCAs) and trading venues to address data quality and submission issues, will allow for publication in March.


Next steps

ESMA, to ensure a timely publication of DVC data, is already engaging with NCAs and trading venues to close the gaps in reporting as soon as possible. ESMA has analysed the data and is aware of which venues have so far not succeeded in submitting an adequately complete set of data and will address them first to improve the completeness of the available dataset.


ESMA believes that the initial technical and reporting problems leading to this delay can be overcome within the next few weeks. To achieve this, ESMA and the NCAs are depending, and relying, on good cooperation from trading venues to be able to operate the DVC mechanism as envisaged by the co-legislators.

In March, ESMA intends to publish the data covering the previous periods in order to ensure the full application of the DVC as of January 2018.