Article 3 Methodology

  1. (1)

    Trading venues shall calculate the ratio of unexecuted orders to transactions for each of their members or participants at least at the end of every trading session in both of the following ways:

    1. (a) in volume terms: (total volume of orders/total volume of transactions) – 1;

    2. (b) in number terms: (total number of orders/total number of transactions) – 1.

  2. (2)

    The maximum ratio of unexecuted orders to transactions calculated by the trading venue shall be deemed to have been exceeded by a member or participant of the trading venue during a trading session if the trading activity of that member or participant in one specific instrument, taking into account all phases of the trading session, including the auctions, exceeds either or both of the two ratios set out in paragraph 1.

  3. (3)

    Trading venues shall calculate the number of orders received from each member or participant following the counting methodology per order type set out in the Annex.

  4. (4)

    Where a trading venue uses an order type which is not explicitly laid down in the Annex, it shall count the messages in accordance with the general system behind the counting methodology and on the basis of the most similar order type appearing in the Annex.