Quality of Execution of Transactions

The COMMISSION DELEGATED REGULATION (EU) 2017/ 575 defines a requirement for trading venues to provide reports on the quality of execution of transactions. Reports are published on a quarterly basis, with a three months delay to the end of the quarter that is reported. This means that Q1 reports are published on the 30th of June, Q2 reports on the 30th of September, and so on.

Where to find the reports

The reports are made available on this URL: http://qoeot.ngm.se

The COMMISSION DELEGATED REGULATION (EU) 2017/ 575 specifies different information to be published according to tables specified.

  • All tables, except for table 5 are reported on a per trading day basis, where all tables and all instruments are provided in the same file, one file per trading day.
  • Table 5 is reported on a per quarter basis.

Format of the reports

Format of reports for all tables except table 5

NGM provide the reports in the CSV format.

The order of the columns are: trading_date,market_id,instrument_id,table_id, <table data>, ...

Column Format
trading_date
YYYY-MM-DD
market_id
MIC
instrument_id
Elasticia instrument identifier
table_id
TABLE1, TABLE2, etc. as per table referenced in the delegated regulation.
<table data>
Depends on the table in question.

Formatted in accordance with the templates set out in the Annex of the delegated regulation with descriptive column and row headers.

See example below for information on the format.

Example of one instrument’s data for one trading day:

2018-01-08,NMTF,3BMR,TABLE1,item,value 1,value 2,value 3
2018-01-08,NMTF,3BMR,TABLE1,venue,NGM,XNGM,
2018-01-08,NMTF,3BMR,TABLE1,country_of_competent_authority,SE,,
2018-01-08,NMTF,3BMR,TABLE1,market_segment,Nordic MTF,NMTF,,
2018-01-08,NMTF,3BMR,TABLE1,date_of_the_trading_day,2018-01-08,,,
2018-01-08,NMTF,3BMR,TABLE1,outages,,0,
2018-01-08,NMTF,3BMR,TABLE1,scheduled_auctions,Opening/Closing Auction,1,900.098805s,
2018-01-08,NMTF,3BMR,TABLE1,failed_transactions,,0,0,
2018-01-08,NMTF,3BMR,TABLE2,item,value 1,value 2
2018-01-08,NMTF,3BMR,TABLE2,financial_instrument,BULL BABA X8 C,DE000CD6HSX8,
2018-01-08,NMTF,3BMR,TABLE2,written_description,,
2018-01-08,NMTF,3BMR,TABLE2,instrument_classification,RMXXXX,,
2018-01-08,NMTF,3BMR,TABLE2,currency,SEK,,
2018-01-08,NMTF,3BMR,TABLE3,time-size_range,simple_average_executed_price,total_value_executed,price,time_of_execution,transaction_size,trading_system,trading_mode,trading_platform,best_bid_and_offer
2018-01-08,NMTF,3BMR,TABLE3,09.30.00-1,,,1447.09,14:27:05.937707,5,Elasticia,,electronic,"best bid:1447.09, best offer:1426.43, last:1460.13",
2018-01-08,NMTF,3BMR,TABLE3,09.30.00-2,,,,,,,,,,
2018-01-08,NMTF,3BMR,TABLE3,09.30.00-3,,,1460.13,09:37:16.226546,3E+1,Elasticia,,electronic,"best bid:1460.13, best offer:1439.54, last:1448.98",
2018-01-08,NMTF,3BMR,TABLE3,11.30.00-1,,,1447.09,14:27:05.937707,5,Elasticia,,electronic,"best bid:1447.09, best offer:1426.43, last:1460.13",
2018-01-08,NMTF,3BMR,TABLE3,11.30.00-2,,,,,,,,,,
2018-01-08,NMTF,3BMR,TABLE3,11.30.00-3,,,1394.17,15:38:48.856138,19,Elasticia,,electronic,"best bid:1394.17, best offer:1374.5, last:1447.09",
2018-01-08,NMTF,3BMR,TABLE3,13.30.00-1,,,1447.09,14:27:05.937707,5,Elasticia,,electronic,"best bid:1447.09, best offer:1426.43, last:1460.13",
2018-01-08,NMTF,3BMR,TABLE3,13.30.00-2,,,,,,,,,,
2018-01-08,NMTF,3BMR,TABLE3,13.30.00-3,,,1394.17,15:38:48.856138,19,Elasticia,,electronic,"best bid:1394.17, best offer:1374.5, last:1447.09",
2018-01-08,NMTF,3BMR,TABLE3,15.30.00-1,,,,,,,,,,
2018-01-08,NMTF,3BMR,TABLE3,15.30.00-2,,,,,,,,,,
2018-01-08,NMTF,3BMR,TABLE3,15.30.00-3,,,1394.17,15:38:48.856138,19,Elasticia,,electronic,"best bid:1394.17, best offer:1374.5, last:1447.09",
2018-01-08,NMTF,3BMR,TABLE4,item,value
2018-01-08,NMTF,3BMR,TABLE4,simple_average_transaction_price,1459.563,
2018-01-08,NMTF,3BMR,TABLE4,volume_weighted_transaction_price,1469.082,
2018-01-08,NMTF,3BMR,TABLE4,highest_executed_price,1502.52,
2018-01-08,NMTF,3BMR,TABLE4,lowest_executed_price,1394.17,
2018-01-08,NMTF,3BMR,TABLE6,item,value
2018-01-08,NMTF,3BMR,TABLE6,number_of_orders,11,
2018-01-08,NMTF,3BMR,TABLE6,number_of_transactions,8,
2018-01-08,NMTF,3BMR,TABLE6,total_value_of_transactions,258558.42,
2018-01-08,NMTF,3BMR,TABLE6,number_of_orders_canceled,4,
2018-01-08,NMTF,3BMR,TABLE6,number_of_orders_modified,8,
2018-01-08,NMTF,3BMR,TABLE6,median_transaction_size,18,
2018-01-08,NMTF,3BMR,TABLE6,median_order_size,30,
2018-01-08,NMTF,3BMR,TABLE6,number_of_market_makers,1,
2018-01-08,NMTF,3BMR,TABLE7,time,best_bid_price,best_offer_price,bid_size,offer_size,book_depth
2018-01-08,NMTF,3BMR,TABLE7,09.30.00,1448.98,1.52E+3,75,75,222673.50,
2018-01-08,NMTF,3BMR,TABLE7,11.30.00,1419.63,1490.68,75,75,263813.25,
2018-01-08,NMTF,3BMR,TABLE7,13.30.00,1405.67,1514.69,75,75,219027.00,
2018-01-08,NMTF,3BMR,TABLE7,15.30.00,1406.74,1515.98,75,75,219204.00,
2018-01-08,NMTF,3BMR,TABLE8,item,value
2018-01-08,NMTF,3BMR,TABLE8,average_effective_spread,2783.400,
2018-01-08,NMTF,3BMR,TABLE8,average_volume_best_bid_offer,864.531,
2018-01-08,NMTF,3BMR,TABLE8,average_spread_best_bid_offer,1.170,
2018-01-08,NMTF,3BMR,TABLE8,number_of_cancellations_best_bid_offer,0,
2018-01-08,NMTF,3BMR,TABLE8,number_of_modifications_best_bid_offer,7,
2018-01-08,NMTF,3BMR,TABLE8,average_book_depth_at_3_price_increments,1452536.435,
2018-01-08,NMTF,3BMR,TABLE8,mean_time_between_aggressive_order_to_transaction,
2018-01-08,NMTF,3BMR,TABLE8,median_time_between_aggressive_order_to_transaction,
2018-01-08,NMTF,3BMR,TABLE8,average_speed_of_execution,85.230335s,
2018-01-08,NMTF,3BMR,TABLE8,number_of_fok_failed,0,
2018-01-08,NMTF,3BMR,TABLE8,number_of_ioc_failed,0,
2018-01-08,NMTF,3BMR,TABLE8,number_of_large_in_scale_transactions,6,
2018-01-08,NMTF,3BMR,TABLE8,value_of_large_in_scale_transactions,244078.07,
2018-01-08,NMTF,3BMR,TABLE8,number_of_not_large_in_scale_transactions,2,
2018-01-08,NMTF,3BMR,TABLE8,value_of_not_large_in_scale_transactions,14480.35,
2018-01-08,NMTF,3BMR,TABLE8,number_of_trading_interruptions,0,
2018-01-08,NMTF,3BMR,TABLE8,average_duration_of_trading_interruptions,0,
2018-01-08,NMTF,3BMR,TABLE8,number_of_suspensions,0,
2018-01-08,NMTF,3BMR,TABLE8,nature_of_suspensions,regulatory
2018-01-08,NMTF,3BMR,TABLE8,average_duration_of_suspensions,0,
2018-01-08,NMTF,3BMR,TABLE8,number_of_periods_quote_missing,2,
2018-01-08,NMTF,3BMR,TABLE8,average_duration_of_quote_missing,22.579477s,
2018-01-08,NMTF,3BMR,TABLE8,average_quote_presence,0.998509616635174,

Format of reports for table 5
NGM provide the reports in the CSV format.

The order of the columns are:period,market,table_id,<table data>, ...

Column Format
period
YYYY-QQ (example: 2018-Q1)
market
Always NGM (all instruments on the NGM exchange are included, for market data costs Spotlight Stock Exchange is also included, since it cannot be separated).
table_id
Always TABLE5 (refers to the table in the deletaged regulation)
<table_data>
Formatted in accordance with the templates set out in the Annex of the delegated regulation with descriptive column and row headers.

See example below for information on the format.

Example of NGM table 5 data for one quarter:

2018-q1,NGM,TABLE5,item,value
2018-q1,NGM,TABLE5,Information required under Article 5(a) to (d),"123456789, N/A, N/A, Transactions in Sweden are not subject for VAT. Market data are subject for VAT in Sweden"
2018-q1,NGM,TABLE5,Link to a website or other source where further information on costs is available,http://www.ngm.se
2018-q1,NGM,TABLE5,"Total value of all rebates, discounts, or other payments offered (as % of total traded value during the reporting period)",0
2018-q1,NGM,TABLE5,"Total value of all costs (as a % of total traded value during the reporting period volume)",0.101