With entry into force of MiFID II/MiFIR, Trading members will be obliged to comply with Commission Delegated Regulation (EU) 2017/566 (RTS 9) regarding order-to-trade ratio (OTR). The OTR describes the ratio between entry, modifications and deletions of orders and firm quotes and executed transactions.
With Directive 2014/65/EU, Article 48 (6), (12 b) as well as according to RTS 9 trading venues shall calculate the ratio of unexecuted orders to transactions (OTR) effectively entered into the trading system by each member at the level of each financial instrument in the following two ways:
a) in terms of volume: inserted and executed volume
b) in terms of numbers: amount of inserted orders and resulting transactions
Both OTRs will be calculated for each traded security on a daily basis for each trading member and market place. An OTR breach in a security occurs if at least one of the two OTRs exceeds the maximum permitted value, the max. OTR. The new OTR provision will be in place as of 3 January 2018.
Compliance with OTR provisions needs to be achieved by members per day and per instrument. Wiener Börse AG plans provision of an end of day OTR report to members via the Wiener Börse AG report server.
The maximum permitted values (OTR limits) and consequences of non-compliance have been introduced by Wiener Börse AG: