The order-to-trade ratio (OTR) describes the relationship between entry, modification and deletion of orders/quotes and executed transactions.
Pursuant to MiFID II RTS 9 Article 2 (DelVO (EU) 2017/566), trading venues are obliged to calculate the ratio between unexecuted orders and trades (order-to-trade ratio) entered into the trading system by trading members for each financial instrument. The calculation shall include the following two values in accordance with Article 3 ("Methodology") of RTS 9:
- Number based OTR
- Volume based OTR
The OTR policy must be complied by the trading participants on each trading day and for each financial instrument.
The parameters for transaction-based and volume-based OTR are set by asset class, segment, and account.
Number based OTR (Total number of ordes & quotes/total number of transactions + Floor) -1
| Asset class | Segment | Limit M1 | Limit A1 | Limit P1 |
|---|---|---|---|---|
| Equities | Austrian Market | 50,000 | 5,000 | 30,000 |
| Global Market | 250,000 | 10,000 | 50,000 | |
| ETFs | 250,000 | 10,000 | 50,000 | |
| Bonds | 100,000 | 50 | 50 | |
| Certificates & warrants | 500,000 | 50 | 50 |
Volume based OTR ((Total volume of ordes & quotes/total volume of transactions +Floor) -1
| Asset class | Segment | Limit M1 | Limit A1 | Limit P1 |
|---|---|---|---|---|
| Equities | Austrian Market | 1,000,000 | 100,000 | 100,000 |
| Global Market | 1,000,000 | 100,000 | 100,000 | |
| ETFs | 1,000,000 | 100,000 | 100,000 | |
| Bonds | 1,500,000 | 100,000 | 100,000 | |
| Certificates & warrants | 1,000,000 | 100,000 | 100,000 |
A violation occurs when a trading participant exceeds (at least) one of the maximum permissible OTRs in a financial instrument. Each violation triggers an ‘OTR Violations Report’ which is provided to the respective trading participant at the report server. Any fees can be found in the fee schedule (excessive usage fee).
The OTR parameters are reviewed and, if necessary, adjusted annually by the Wiener Börse – in coordination with the NCA (Austrian Financial Market Authority). Any adaptation will be communicated in a timely manner.
1 M = Liquidity Provider, P = Proprietary, A = Agent