The Aquis Exchange RTS 27 Analytics Tool

Welcome to the Aquis Exchange RTS 27 Analytics Tool.

RTS 27 is a Regulatory Technical Standard issued by ESMA with the intention of providing market participants with an overview of comparable liquidity and execution data sets to support their Best Execution processes. Compliance with RTS 27 is intended to provide greater transparency and investor protection.

All European Trading Venues and Systematic Internalisers (SIs) across all asset classes have an obligation to publish RTS 27 data. Currently the Aquis Exchange analytics tool includes RTS reports for equity markets only. Reports must be published quarterly with publication no later than 3 months after the end of each quarter.

Aquis Exchange’s database is standardised and machine readable

Data should theoretically be made available and downloadable in machine readable format. However, the format of data reports submitted from different Trading Venues and Sis varies considerably. Aquis Exchange has invested considerable time and resource to ‘clean’ the data from some 20 execution venues and now has a standardised, machine readable, database that should permit valid comparison of execution venues over time. (Cont. below)

RTS 27 reports are comprised of 9 separate tables. To begin with, Aquis Exchange has concentrated its analysis on Likelihood of Execution (Table 7), although Costs (Tables 4 and 5) and Average Executed Price (Tables 3 and 4) should also be considered. It should be noted that current Table 7 data demonstrates a positive bias towards SIs due to tick size differences. This should be corrected in upcoming reports following recent updated ESMA guidance on tick sizes, however, this factor should not be ignored when conducting historic analysis.

Due to the quantity of data, ESMA has selected four sample time periods to reference. These are: 9.30, 11.30, 13.30 and 15.30 UTC. This poses certain problems, particularly in the Summer, when for example 15.30 UTC = 17.30 CEST or 16.30 BST, which is the closing time of most of the European markets pre auction. The depth of order books is particularly thin at this time and valid data/analysis can be compromised. In addition, markets such as Copenhagen and Oslo are already closed and there is no data point at 15.30 UTC available at all.

Complementary tool for post-trade analysis

Despite the above-mentioned limitations within the data, which Aquis Exchange has already raised with the regulators, RTS 27 remains a regulatory standard that imposes mandatory contribution and should provide a near-complete data set. Aquis Exchange, therefore, considers that when overlaid as an additional support to existing post-trade analysis tools, RTS 27 can be an important addition to Best Execution analysis for buyside and sellside institutions.

We hope you find the Aquis Exchange RTS 27 Analytics Tool useful. If you have any questions or suggestions as to how we could improve the product over time do not hesitate to contact us at

To read or download the Aquis RTS 27 Brochure go to and click on Brochures.