The European Securities and Markets Authority (ESMA) requires investment firms to publish, on an annual basis, information on the identity of execution venues and the quality of execution obtained. This reporting requirement falls under MiFID II (Markets in Financial Instruments Directive) which is a European Union law that aims to standardise regulation for investment services across all member states of the European Economic Area.
Under MiFID II there are several Regulatory Technical Standards (RTS) which investment firms are required to implement. RTS 28 outlines the requirements designed to increase transparency related to executing client orders on trading venues - including systematic internalisers, market makers or other liquidity providers - intended to improve investor protection.
To adhere to RTS 28, investment firms that execute client orders are required to summarise and publish the top five execution venues in terms of trading volumes where they executed client orders in the preceding year, as well as information on the quality of execution obtained.
Charles Taylor Investment Management Limited (CTIM) have analysed the period 1 January 2019 to 31 December 2019, available here