X_TRADER® Support for MiFiD II

Introduction

X_TRADER supports MiFID II compliance by adding MiFID II fields to the following:

Customer Defaults for MIFID II

Customer Defaults  has been enhanced to support MiFID II-related fields. Click the Show Compliance Columns checkbox in Customer Defaults to display the MiFID II columns. The box is checked by default.

For MiFID II, client short codes are configurable in Customer Defaults, so you can configure rules for which ones get applied per user, exchange, product, etc.  Registered IDs/Short Codes are stored in X_TRADER and applied to each submitted order. Risk administrators can create Customer Defaults for X_TRADER users in TT User Setup and configure them so that end users cannot override their values. 

Customer Defaults Examples MIFID II

In the following example, the customer defaults are configured with the short code (e.g., 12345678) of an individual trader, who is also the same trader making the investment and execution decisions.

The next example shows a broker with separate customer accounts in the Customer Defaults window. The registered LEI short codes are different for each customer and are shown in the Client column. The Execution Decision field shows the broker's registered ID and will be the same for each order.

After Customer Defaults have been updated with the applicable MIFID II values,  you can click the Show Compliance button in the Routing Configuration Dialog Box to view the MIFID II fields for each customer. When the MiFID II fields are shown in the Routing Configuration Dialog Box, the button displays Hide Compliance.

If not restricted by your risk administrator, you can modify the MiFID II values for the current order action. Any modifications made in this view only apply to the current order action and do not change the Customer Default entry.

 After the orders are submitted, the MiFID II fields are sent with each order and appear in the MiFID II columns shown in the Audit Trail.

The MiFID II fields are also sent to the exchange for Change, Cancel/Replace, and Delete order actions. If customers are changed on a working order, the MiIFD II fields on the order are also changed.

For example, if "CustomerA" submits a 10 lot order, but the order is changed to "CustomerB" and deleted in the Order Book, then the MiFID II fields in Customer Defaults for "CustomerB" are sent to the exchange on the delete action and displayed in the Audit Trail.

In addition, MiFID II tags are changed on an order if two or more users share an Order Book and one of the users initiates a Change, Cancel/Replace, or Delete. In this case, the MiFID II tags of the user initiating the change are applied to the order and submitted to the exchange. 

For example, if "User 1" submits a 10 lot order and "User 2" highlights the order in the Orders and Fills Window and modifies or cancels the order, the MIFID II tags are updated with "User 2's" selected customer. If no customer is selected in the Customer dropdown, the MIFID II tags of the best match <Default> customer are applied to the change or cancel.

Customer Defaults MIFID II Field Descriptions

Descriptions of the MiFID II fields in the Customer Defaults window are shown in the following table. Required settings vary by exchange. When setting these fields, refer to MiFID II Order Fields by Exchange.

Column Description

Direct Electronic Access

Sets whether or not the order is sent from direct/sponsored access, or from another source. Valid values:

  • None
  • True
  • False
 
Trading Capacity

Indication of a user dealing on own account, trading in a matched principal trading capacity, or trading in any other trading capacity. Valid values: 

  • DEAL
  • MATCH
  • AOTC
 

Liquidity Provision

Indication of market making. Valid values: 

  • None
  • True
  • False
 

Commodity Derivative Indicator

Indication of whether the order is for hedging purposes to reduce risk. Valid values: 

  • None
  • True
  • False
 
Investment Decision

Indication of who made the trading decision. Enter a registered ID/Short Code.

Execution Decision

Indication of who or what algo submitted the order. Enter a registered ID/Short Code.

Client

Identification of the customer (LEI/Short Code). Free text.

FFT4

Used for free-form text or non-standard exchange fields; e.g., Tag 9707-MIFIDID on ICE.

FFT5

Used for free-form text or non-standard exchange fields.

FFT6

Used for free-form text or non-standard exchange fields.

Algo Defaults for MIFID II

The Customer Defaults window includes an Algo Defaults pane used for configuring default settings on algo orders. To switch to the Algo Defaults pane, click the Switch To Algo Defaults button in the top left corner of the Customer Defaults window. Risk administrators can create Algo Defaults for X_TRADER users in TT User Setup and configure them so that end users cannot overwrite their values.

After displaying the Algo Defaults pane, algos are selected in the Algo Name column.  Anytime one these algos is sending an order and there is a match in Algo Defaults,  then X_TRADER will add the applicable Investment Decision, Execution Decision, Liquidity Provision, and Direct Electronic Access fields to the algo orders sent to the exchange. These fields will override any values set in Customer Defaults.  If a field is blank in Algo Defaults, the value in Customer Defaults will be sent to the exchange.

For ADL, you have the option to register each ADL algo separately. In Algo Defaults, you can either choose ADL or enter the name of a user-defined, deployed ADL algo (e.g., Market Maker algo).

Algo Defaults Example MIFID II

The following example shows "CustAccount A" selected in Customer Defaults and "Autospreader" selected in the Algo Defaults pane. Since"CustAccount A" is selected, the MiFID II fields in Algo Defaults will override the corresponding MiIFD II fields for "CustAccountA" on Autospreader child orders sent to the exchange.

Algo Defaults MIFID II Field Descriptions

Descriptions of the MiFID II fields in the Algo Defaults pane are shown in the following table. Required settings vary by exchange. When setting these fields, refer to MiFID II Order Fields by Exchange.

Column Description
Algo Name

Name of the algo used for submitting the order. Enter the name of your own, user-defined algo or select one of the following TT algos: 

  • ADL
  • Aggregator
  • Autospreader
  • Autotrader
  • Liquidate
  • Sniper
  • SSE
FFT4

Used for free-form text or non-standard exchange fields; e.g., Tag 9707-MIFIDID on ICE.

FFT5

Used for free-form text or non-standard exchange fields.

FFT6

Used for free-form text or non-standard exchange fields.

Direct Electronic Access

Sets whether or not the order is sent from direct/sponsored access or from another source. Valid values:

  • None
  • True
  • False

Liquidity Provision

Indication of market making. Valid values: 

  • None
  • True
  • False

Commodity Derivative Indicator

Indication of whether the order is for hedging purposes to reduce risk. Valid values: 

  • None
  • True
  • False
Investment Decision

Indication of who made the trading decision. Enter a registered ID/Short Code.

Execution Decision

Indication of who or what algo submitted the order. Enter a registered ID/Short Code.

Client

Identification of the customer (LEI/Short Code). 

RFQ MIFID II

To support MiFID II compliance, the applicable MiFID II fields are sent to the exchange when you submit an RFQ. When submitting RFQ's from the Market Grid, Spread Matrix, Strategy Creation, Wholesale Order, and Quote Board windows, the MIFID II fields in Customer Defaults are sent to the exchange and displayed as an INFO message in the Audit Trail.

Note: The Spread Matrix, Strategy Creation, and Quote Board windows use the best <Default> customer match in Customer Defaults since you cannot change accounts in these windows. When sending an RFQ from these windows, ensure that the applicable <Default> customers have the MiFID II compliance fields set in Customer Defaults.

 

WHOLESALE ORDERS MIFID II

To support MiFID II compliance, the applicable MiFID II fields are sent to the exchange when you submit a Wholesale Order. When a two-sided wholesale order is submitted, the RFQ that is sent includes the MiFID II tags for the buy-side customer.

When you select a customer in the Customer drop-down, the MiFID II fields in Customer Defaults for that customer are applied to the order and sent to the exchange.

SAVED ORDERS MIFID II

To support MiFID II compliance, the MiFID II fields on working orders are saved as part of the Saved Order Parameters functionality in the Order Book and Orders and Fills Window (OFW). When saving orders to a CSV file, the MiFID II fields from Customer Defaults for the customer who submitted the order are added to the file.

For example, if you select a 5 lot order in the Order Book or OFW, right-click in the grid and select Save Order Parameters..., the MiFID II fields on the submitted order will be added to the saved CSV file.

When you right-click and select Load Saved Orders... to upload a CSV file to the Order Book, the saved order is placed on HOLD and the MiFID II fields in the file are included. When you submit the order, the MiFID II tags are sent to the exchange on the order and displayed in the Audit Trail.

For example, if the above CSV file with the 5 lot saved order parameters is uploaded to the Order Book and submitted, the MiFID II tags will be sent with the order.

X_RISK MIFID II

MiFID II requires that firms have the ability to cancel orders immediately as an emergency measure. X_RISK 7.18.0 supports this requirement by sending the applicable MiFID II tags to the exchange when a working order is canceled by a risk administrator. The risk administrator's MIFID tags will be applied to the canceled orders.

If an administrator deletes a stale order in X_RISK, the order originator's MiFID II tags remain on the order.  An INFO message with the administrator's MiFID II tags is also displayed in the Audit Trail.

AUDIT TRAIL MIFID II

The MiFID II fields in Customer Defaults are sent to the exchange on order actions and displayed in the Audit Trail. When exporting all rows from the Audit Trail in X_TRADER or X_RISK, the MiFID II fields are also included. By default, the MiFID II columns are hidden in the Audit Trail.

Descriptions of the MiFID II fields in the Audit Trail are shown in the following table. 
Column Description

D.E.A.

The D.E.A. (Direct Electronic Access) column shows whether or not the order is sent from direct/sponsored access or from another source. Valid values:

  • None
  • True
  • False
Trading Capacity

Indication of a user dealing on own account, trading in a matched principal trading capacity, or trading in any other trading capacity. Valid values: 

  • DEAL
  • MATCH
  • AOTC

Liquidity Provision

Indication of market making. Valid values: 

  • None
  • True
  • False

C.D.I.

The C.D.I. (Commodity Derivative Indicator) column shows whether or not the order is for hedging purposes to reduce risk. Valid values: 

  • None
  • True
  • False
Investment Decision

Indication of who made the trading decision. Displays a registered ID/Short Code.

Execution Decision

Indication of who or what algo submitted the order. Displays a registered ID/Short Code.

Client

Identification of the customer (LEI/Short Code). 

FFT4

Displays free-form text or non-standard exchange fields; e.g., Tag 9707-MIFIDID on ICE.

FFT5

Displays free-form text or non-standard exchange fields.

FFT6

Displays free-form text or non-standard exchange fields.

MIFID II Column Descriptions

Descriptions of the MiFID II columns in the Order Book, Fills, and Orders and Fill Windows are shown in the following table.

Column Description

Direct Electronic Access

Indicates whether or not the order was sent from direct/sponsored access, or from another source. Valid values:

  • None
  • True
  • False
 
Trading Capacity

Indication of a user dealing on own account, trading in a matched principal trading capacity, or trading in any other trading capacity. Valid values: 

  • DEAL
  • MATCH
  • AOTC
 

Liquidity Provision

Indication of market making. Valid values: 

  • None
  • True
  • False
 

Commodity Derivative Indicator

An indication of whether the order is for hedging purposes to reduce risk. Valid values: 

  • None
  • True
  • False
 
Investment Decision

Indication of who made the trading decision. Displays a registered trader ID/Short Code.

Execution Decision

Indication of who or what algo submitted the order. Displays a registered trader ID/Short Code.

Client

Shows identification of the customer (LEI/Short Code). 

FFT4

Displays free-form text or non-standard exchange fields; e.g., Tag 9707-MIFIDID on ICE.

FFT5

Displays free-form text or non-standard exchange fields.

FFT6

Displays free-form text or non-standard exchange fields.