--- title: "ESMA Q&A 1565 — Q&A — Calculation of the current volume weighted spread [Answer Published]" shortTitle: "ESMA Q&A 1565 — Q&A — Calculation of the current volume weighted spread [Answer Published]" answer_id: ESMA_QA_1565 topic: "Pre-trade transparency waivers" status: "Answer Published" type: qa instrument_type: qa authority: ESMA binding: false binding_character: non_binding legal_status: in_force regulation: "MiFIR" mifir_level3: true mica_level2: false legal_basis: "MiFIR" date: 31 May 2017 source_link: https://www.esma.europa.eu/publications-data/questions-answers/1565 lifecycle: "Answer Published" text_version: "ESMA Q&A register, 31 May 2017" source_url: "https://www.esma.europa.eu/publications-data/questions-answers/1565" check_status: matched verified: true last_checked: 2026-10-26 checked_against: "the ESMA publication" source: prepared_by: "ESMA" published_by: "ESMA" published_in: "ESMA Q&A tool" evidence: prepared_by: "ESMA Answer" locator: "ESMA Q&A entry ESMA_QA_1565: field 'ESMA Answer', no 'Answer provided by' line" document_type: "qa_answer" legal_nature: "not_legislation" addressees: "not stated in the document" dates: published_on: "2017-05-31" question_submitted_on: "2017-05-31" locators: published_on: "ESMA Q&A Excel export ESMA_QA_1565, column 'Esma responses', date line" question_submitted_on: "ESMA Q&A Excel export ESMA_QA_1565, column 'Date of submission'" lifecycle_label: "Answer Published" --- **Answer by ESMA, published in its Q&A tool · not legislation · published 31 May 2017 [Answer Published]** *Answer Published · ESMA Q&A register, 31 May 2017 · Checked against the ESMA publication on 26 Oct 2026 · [Official source](https://www.esma.europa.eu/publications-data/questions-answers/1565)* | | | |---|---| | **Full title** | ESMA Q&A 1565 — Q&A — Calculation of the current volume weighted spread \[Answer Published\] | | **Prepared by** | ESMA | | **Published by** | ESMA, in the ESMA Q&A tool | | **Reference** | ESMA_QA_1565 | | **Document type** | Q&A | | **Legal nature** | Not legislation | | **Addressees** | Not stated in the document | | **Dates** | Published 31 May 2017; question submitted 31 May 2017 | | **Legal basis** | MiFIR | | **Related instruments** | None recorded | | **Text on this page** | Word for word — the full text of the ESMA publication | **Calculation of the “current volume weighted spread reflected in the order book” for negotiated transactions** ### Question How should the “current volume weighted spread reflected in the order book” be calculated for negotiated transactions under Article 4(1)(b)(i) of MiFIR? *** ### Answer \[ESMA 70-872942901-35 MiFIR transparency Q&A, Q&A 5.4\] The volume weighted spread should be calculated as the spread between the volume weighted bid and offer prices of orders on the trading venue’s public order book aggregated to the size of the negotiated transaction. The volume weighted bid (offer) should be calculated considering all bid (sell) orders in the order book that would theoretically be executed if a sell (buy) order of a size equivalent to the negotiated transaction was introduced in the order book. Where the transaction size is larger than the volume of buy (sell) orders on the order book it will be the average price of the transaction assuming that a sell (buy) order is executed against all buy (sell) orders on the order book. Orders benefitting from a pre-trade transparency waiver should not be included in the calculation. *** **Source:** [ESMA original document](https://www.esma.europa.eu/publications-data/questions-answers/1565)