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 at least one of the two OTRs in a financial instrument exceeds the maximum permissible value. An Infraction has the consequence that an "excessive usage fee" will be charged by the Vienna Stock Exchange. Any violation of the defined OTR parameters in a financial instrument generates an "OTR Violations Report" and is available for the respective trading participant via the report server.
The OTR parameters are reviewed and adjusted if necessary annually by the Vienna Stock Exchange – in consulation with the NCA (Austrian Financial Market Supervision). Any adaptation will be communicated and published in a timely manner.
1 M = Liquidity Provider, P = Proprietary, A = Agent