Upper Tribunal Tax and Chancery Chamber

UT (Tax & Chancery) UT-2022-000134 UT-2022-000135 UT-2022-000137 - [2025] UKUT 00214 (TCC)

Fecha: 31-Ene-2025

Trading Activity of other participants in the market

Trading Activity of other participants in the market

336.

The SMARTS data was relied upon by the Authority in its Amended Statements of Case as supporting the inference that the Traders’ conduct was abusive. The Tribunal makes the following findings of fact on the basis of the SMARTS data.

337.

During the Relevant Period, the average daily number of active participants in the Eurex market, being participants who entered orders (including MSUSA, the market code for which was MIZNY), was 110.

338.

The comparison of MIZNY’s activity with that of all other market participants during the Relevant Period included:

(1)

Number of orders - 2,872 large orders (defined as orders of 200 lots or more) were placed, accounting for 0.02% of the total number of Futures orders. MIZNY entered the most large orders, 466, being 16.23% of all large orders by number and 23.24% of the total volume of large orders placed. There were 2,406 large orders placed by other market participants.

(2)

Execution rates:

(a)

MIZNY executed fewer of the large orders it placed than other market participants, both by number of orders and volume. MIZNY traded 0.44% of the contracts it entered in large orders. The other market participant who submitted the most large orders after MIZNY executed 4.56% of its large orders. Viewed as a whole, the other market participants traded 20.7% of the contracts they entered in large orders. MIZNY entered 466 large orders for a total of 187,996 contracts, 1.5% of which partially or fully traded. Other market participants entered a total of 2,406 large orders for a total of 620,977 contracts, 72.28% of which partially or fully traded and 27.72% of which did not trade at all.

(b)

MIZNY executed more small orders than large orders, having executed 66.98% of its small orders (by volume) compared with 0.44% of its large orders. MIZNY executed more small orders than other market participants, who executed 16.58% of the 40,799,356 contracts entered.

(3)

Pricing – MIZNY entered proportionately more large orders further away from the touch than other market participants. 1.93% of MIZNY’s large orders were placed at the Best Bid or Best Offer price, or at improved prices. The remaining 98.07% were placed between two and nine ticks away from the best price. 80.34% of large orders placed by other market participants were at the best or improved prices.

339.

The data by individual market participant included the following:

	Market Participant	Number of Large Orders	Volume of Large Orders Entered	Volume of Large Orders Traded	Execution Rate by Volume
1	MIZNY	466	187,996	828	0.44%
2	CAIPA	580	159,453	7,267	4.56%
3	JPMFR	377	106,168	11,853	11.16%
4	NEDAM	352	70,400	0	0
5	UBSCX	241	66,136	10,532	15.92%
6	CSILO	153	36,000	4,050	11.25%

340.

The code CAIPA refers to Credit Agricole, and JPMFR refers to JPMorgan. NEDAM (Flow Traders) is a specialist in algorithmic and high frequency trading and placed 352 large orders for a total of 70,400 lots, none of which traded.