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effective and realised spread: The average effective spread summarises the extent to which mar-ket and marketable limit orders receive price improvement when measured against the mid-pointof the consolidated best bid and offer (BBO). This is a measure of the liquidity premium paid, ordifference between the price expected at the time of the order being submitted and the price actuallypaid. The average realised spread measures the extent to which an order venue provides liquidityin a volatile or fast moving market and also measures the extent of informed order flow. Itis calculated with reference to the midpoint of the consolidated BBO five minutes after the execution;andi.ii.price improvement per instrument: This is determined by calculating the difference between thetrade price and the BBO for each execution in order to arrive at a net price improvement value foreach trade. These values are then volume averaged to arrive at the price improvement per instrumentfor each venue.21. In order to enable investment firms to compare the market data of different trading venues whenestablishing their best execution policy, ESMA considers that trading venues should publish the datarelating to the quality of execution with regard to a uniform reference period, with a minimum of specificreporting details and in a compatible format of data based on a homogeneous calculation method.Q13: Do you agree that trading venues should publish the data relating to the quality ofexecution with regard to a uniform reference period, with a minimum of specificreporting details and in a compatible format of data based on a homogeneous calculationmethod? If not, please state why.Q14: Is the volume of orders received and executed a good indicator for investmentfirms to compare execution venues? Would the VBBO in a single stock publishedat the same time also be a good indicator by facilitating the creation of a periodicEuropean price benchmark? Are there other indicators to be considered?Q15: The venue execution quality reporting obligation is intended to apply to all MiFIDinstruments. Is this feasible and what differences in approach will be required fordifferent instrument types?Q16: Do you consider that this requirement will generate any additional cost? If yes,could you specify in which areas and provide an estimation of these costs?Execution quality metrics22. MiFID I specifies four dimensions of execution quality (price, costs, speed and likelihood of execution)that firms need to meet as part of their best execution obligations. Each presents its own specificchallenges:i.Costs: This factor is intended to capture the total trading costs faced by the client and is particu-larly important for retail clients for whom investment firms are required to assess execution qualityin terms of total consideration (all costs including instrument price). A full list of executioncosts that are capable of disclosure by venues on a standardised basis is not currently specified.ii.Price: The issues related to the availability of a standardised European benchmark are discussedin detail earlier in this chapter. Other issues include the need to ensure that price comparisons reflectdifferent order sizes; standardised measurement points; and the potential need to standardisecalculation methodologies for common price benchmarks;29