Currently, it doesn’t really matter whether dark trades are executed under the reference price waiver (RP), large in scale waiver (LIS) or a negotiated trade waiver (NT). However, under MiFID II, the waiver flavour will make a significant difference. Whilst RP and parts of NT will become subject to the clunky double volume cap, LIS will not, so we may expect to see an increase in block trading. But how does an exchange flag a trade that matches a LIS order with an RP order?

Coming up with an appropriate approach is now a pressing issue. ESMA would need to start collecting data to measure for the dark caps as early as January 2016 in order to accumulate 12 months’ worth ahead of the MiFID II go-live date.

Even if exchanges and regulators can agree on a process, and collect data ahead of time, will it be publicly available? My concern is that if it is not, then market participants cannot tune their trading strategies ahead of the 3rd January 2017 go-live. There is simply no way of telling how many instruments may be affected and it certainly seems like we may be left in the dark for a while longer.