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MiFID II Transaction Reporting

Introduction

This topic describes the changes to Trading Technologies to support MiFID II transaction reporting requirements.

TT Gateways

TT is adding fields to each of its TT Gateways to support new fields that each exchange is adding to its API specification to comply with MiFID II. The following TT Gateways will support exchange API fields for MiFID II compliance:

  • ICE Gateway
  • Eurex Gateway (supports EEX customers)
  • NYSE_LIFFE Gateway (Euronext)
  • NASDAQ_OMX_EU Gateway
  • LME Gateway
  • LSE Gateway (supports IDEM customers)
  • MEFF Gateway

MiFID II mandates standards for HFT timestamps. TT is adopting the HFT standard across the board by enhancing its timestamps on each Gateway to provide microsecond-level precision synchronized to global GPS on each order action.

The X_TRADER ASP environment will provide its customers with the microsecond timestamp on all order actions, logfiles, and audit files. Customers that host their own trading environments will need to upgrade to TT Gateway version 7.18.25 that supports MiFID II and coordinate with Greyware Automation to obtain their timestamp solution for the Windows OS running on their TT Gateway servers. These customers also need to consult with Greyware regarding which time source they will use to meet the microsecond timestamp requirement.

As many TT customers use Gateway audit files for compliance purposes, TT is adding fields to each TT Gateway’s audit file to capture the relevant MiFID II data. In addition, credit and risk checks will be written to the Gateway logfiles.

X_TRADER®

Customer Defaults is a feature in X_TRADER that allows users to populate certain fields for order actions that are routed to certain exchanges. TT has enhanced Customer Defaults to add support for MiFID II-related fields, and has added columns in several windows of X_TRADER to display the new fields. A new pane will be provided that allows users to toggle between Customer Defaults screens to show the fields required to meet MiFID order and algo tagging requirements.

The Customer Defaults fields will be applied as follows:

  • When submitting an RFQ, the MIFID required customer defaults values will be included in the request.
  • X_TRADER will indicate if the investment and execution decisions sent to the TT Gateway were provided by registered algos.
  • Algos include the applicable MiFID fields. Administrators or users can configure the mapping of algos to MiFID fields in Customer Defaults.

TT User Setup

As an administrator, you can create Customer Defaults for X_TRADER users and configure them so that end users cannot override their values. TT has added support for the new MiFID II-related fields in TT User Setup, as well as in X_TRADER. .

Account Defaults is a feature in TT User Setup that dictates how certain FIX tags are populated in FIX Adapter. TT is adding support for the new MiFID II-related fields to Account Defaults in TT User Setup.

FIX Adapter

New FIX tags for MIFID II will be normalized across exchanges as much as possible following the FIX extensions proposed by the FIX Trading Community's MIFID II Working Groups. TT is adding FIX tags to allow customers to populate the appropriate fields for FIX order routing to each exchange and to receive the tags on FIX Drop Copy.

New tags will be added to the following messages for Drop Copy and Order Routing FIX Adapters to support MiFID II compliance:

  • ExecutionReport (35=8)
  • NewOrderSingle (35=D)
  • OrderCancelRequest (35=F)
  • OrderCancel/Replace (35=G)