Section 2B

For the purposes of the definition of “high-frequency algorithmic trading technique” in regulation 2(1), a high message intraday rate consists of the submission on average of either of the following— at least 2 messages per second with respect to any single financial instrument traded on a trading venue; at least 4 messages per second with respect to all financial instruments traded on a trading venue. Paragraphs (3) to (7) have effect for the purposes of the calculation in paragraph (1). The following are to be included in the calculation— messages concerning financial instruments for which there is a liquid market in accordance with Article 2(1)(17) of the markets in financial instruments regulation; messages introduced for the purpose of a market-making strategy that satisfies the criteria in paragraph (4). A market-making strategy satisfies the criteria in this paragraph where the strategy— is pursued by the investment firm as a member or participant in one or more trading venues when dealing on own account, and involves posting firm, simultaneous two-way quotes of comparable size and at competitive prices relating to one or more financial instruments on a single trading venue or across different trading venues, with the result of providing liquidity on a regular and frequent basis to the overall market. Messages introduced for the purpose of dealing on own account are to be included in the calculation. Messages introduced through trading techniques other than those relying on dealing on own account are to be included in the calculation where the firm’s execution technique is structured in such a way as to avoid the execution taking place on own account. For the calculation of a high message intraday rate in relation to direct electronic access providers, messages submitted by their clients with direct electronic access are to be excluded from the calculations. In this regulation “dealing on own account” means trading against proprietary capital resulting in the conclusion of transactions in one or more financial instruments.

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Source: legislation.gov.uk · retrieved 2026-09-04