With its aim of increasing transparency around execution quality, under the current draft technical standards MiFID II will require investment firms to provide an annual execution quality report that states, for the top five execution venues, the share of passive and aggressive orders executed by the broker.

In many cases the exchange provides a passive/aggressive flag on the trade which can easily be collected by the broker, but what do you do if this data is not available from the trading venue? Recalculating it yourself is a challenge; accounting for all kinds of edge cases and race conditions, you will have to effectively replay the full order book step-by-step. On top of that, not all orders can be conveniently classified as passive or aggressive – orders executed in a closing auction or wholesale trades, for example. Adding the passive/aggressive flag is just one of the many thousands of things firms need to get right on the long and winding road to MiFID II.