Article 3 of MiFIR does not apply in respect of orders that are large in scale compared with normal market size.
For the purposes of MAR 11A.4.1R, an order is ‘large in scale’ where, in respect of:
(1) an equity transparency instruments other than an ETF, it is equal to or larger than the minimum size of orders set out in Tables 1 and 2 of Annex II of MiFID RTS 1; and
(2) an ETF, the order is equal to or larger than 1,000,000 euros.
Unless the price or other relevant conditions for the execution of an order are amended, the waiver in MAR 11A.4.2R continues to apply in respect of an order that is large in scale when entered into an order book but that, following partial execution, falls below the threshold applicable for that financial instrument as determined in accordance with MAR 11A.4.2R.
For the purpose of determining orders that are large in scale, the FCA calculates the average daily turnover in respect of shares, depositary receipts, certificates and other similar financial instruments traded on a trading venue.
The calculation in MAR 11A.4.4G:
MAR 11A.4.4G and MAR 11A.4.5G do not apply to shares, depositary receipts, certificates or other similar financial instruments first admitted to trading or first traded on a trading venue 4 weeks or less before the end of the preceding calendar year.
Before a share, depositary receipt, certificate or other similar financial instrument is traded for the first time on a trading venue, the FCA estimates the average daily turnover for that financial instrument, taking into account any previous trading history of that financial instrument and of other financial instruments that are considered to have similar characteristics, and publishes that estimate.
The estimated average daily turnover referred to in MAR 11A.4.7G should be used for the calculation of orders that are large in scale during a 6-week period following the date that the share, depositary receipt, certificate or other similar financial instrument was admitted to trading or first traded on a trading venue.
The FCA calculates and publishes average daily turnover based on the first 4 weeks of trading before the end of the 6-week period referred to in MAR 11A.4.8G. The average daily turnover should be used for the calculation of orders that are large in scale and until an average daily turnover calculated in accordance with MAR 11A.4.4G and MAR 11A.4.5G applies.
Average daily turnover is calculated by dividing the total turnover for a particular financial instrument as specified in Article 17(4) of MiFID RTS 1 by the number of trading days in the period considered. The number of trading days in the period considered is the number of trading days on the most relevant market in terms of liquidity for that financial instrument as determined in accordance with MAR 11A.2.
