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Annex 2.4.1. Detail of proposals relating to data regarding order flow to be provided byinvestment firms39. Execution venues should include all trading venues, systematic internalisers and OTC transactions.40. Additionally, in order to guarantee the relevance of the data, ESMA questions whether it is necessaryto impose an additional degree of specification, namely through a reference to the most liquid marketfor a particular instrument. In ESMA’s view, the trading activities of big investment firms on Europe’slargest markets would be likely to dominate reporting, which would therefore fail to capture the diversityand geographical distribution of relevant markets and instruments.41. ESMA would like to gather opinion about a requirement that each class of instruments is divided intoas many subclasses as the number of most relevant markets in terms of liquidity of the instrumentsincluded in the class. This subdivision would only be imposed on large investment firms (for instance,with a traded volume above a set threshold). ESMA believes that this would help to ensure the proportionalityof the proposal by limiting the compliance burden on small firms.42. ESMA would also like to address the question of requiring a subdivision based on the liquidity of theasset. The following example aims at clarifying this possible additional level of information:43. For example, if a firm executes on the London Stock Exchange (LSE) an order for a stock that actuallyhas the Euronext Paris as its most relevant market, the LSE number would go up on the firm’s reporting.On the surface that would not signal anything because the LSE may be a perfectly acceptablevenue in general, but it would miss the fact that it is not the most appropriate for this stock.44. If this proposal is taken forward it would be useful to develop some templates with specific examplesto have a clear picture on what the reports would look like.45. The data to be reported for each class of instrument could be twofold.46. First, for each relevant subclass of financial instrument/relevant most liquid market there could besome “summary statistics” referring to the percentage of orders 33 that were market orders, limit ordersand other types of orders. The information should be provided both in the number of orders andin value.47. Secondly, the top five execution venues where most orders were executed should be disclosed togetherwith their percentage of total executed orders (view Exhibit 1 for an example).48. In addition, it may be appropriate to consider the possibility of including a benchmarking methodologymeasuring the quality of the executions. The VBBO of the reference market of the share could beworth exploring. For the financial instruments mainly traded on OTC, metrics such as the averagespread and the notion of Hit Ratio could be useful.Exhibit 1: Report from investment firm A33Some more information relating to the ratio between executed orders and received orders could be provided in order to give a moreglobal picture of the execution quality provided by the firm.45