TT Gateway Audit File MiFID II

Overview

The following fields support compliance with MiFID II are added to columns in the TT Gateway 7.18.25 audit file. Values in these columns vary by exchange. If a field in a column is blank, a value was not provided by the client trading application.

Column Description Notes

Date/Time

Shows the TT Gateway server timestamp with microsecond-level precision to support MiFID II compliance on each order action. For more details, refer to Clock Synchronization MiFID II.

DirectElectronicAccess

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

  • 1: True
  • 0: False
TradingCapacity

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

  • P: DEAL
  • R: MATCH
  • A: AOTC

LSE, IDEM: Uses existing Account Type configured in X_TRADER. Value is displayed for internal use only and is not sent to the exchange. 

LiquidityProvision

Indication of market making. Valid values: 

  • 1: True
  • 0: False

Euronext: Shows existing Account Type configured in X_TRADER.

CommodityDerivative Indicator

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

  • 1: True
  • 0: False
InvestmentDecision

Indication of who made the trading decision.

ExecutionDecision

Indication of who or what algo submitted the order.

ClientIDCode

Identification of the customer (LEI/Short Code). 

MIFIDID

Free -form text field.

ICE: This field is populated for firms who register and use a single code instead of all MiFID order tags 9700-9706.