EU Dark Volume Cap – Introduction

Starting from  Monday, March 12, 2018, ESMA has rolled out double volume cap (DVC) under the markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).

Keep in mind that the implications of this is that more liquidity will be routed to the lit markets as trading in the dark will be suspended for 6 months on symbols which exceeded the caps. Specifically, any security which traded over 4% of daily volume on any single dark venue or 8% of total average daily volume across all European dark pools, will be subjected to such a suspension.

Please remind your traders of this new feature of market structure in Europe so they can take advantage of the increased lit liquidity.

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