In this act Annex II of 5
ANNEX II
Financial servicesLevel 2RTSMiFIRIn forceOfficial source
Regulatory data and post-trade core market data to be transmitted to and disseminated by the CTP for bonds, and the CTP for shares and ETFS according to Articles 5, 6, 7 and 8 Table 1 Symbols used in Tables 2, 3, 4, 5, 6 and 7
| Symbol | Data Type | Definition |
|---|---|---|
| {DATE_TIME_FORMAT} | ISO 8601 date and time format | Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ. — ‘YYYY’ is the year; — ‘MM’ is the month; — ‘DD’ is the day; — ‘T’ – means that the letter ‘T’ shall be used — ‘hh’ is the hour; — ‘mm’ is the minute; — ‘ss.dddddd’ is the second and its fraction of a second; — ‘Z’ is UTC time. Dates and times shall be reported in UTC. |
| {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |
| {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |
| {CURRENCYCODE_3} | 3 alphanumerical characters | 3-letter currency code, as defined by ISO 4217 currency codes |
Table 2 Regulatory data for bonds, per instrument
| # | Field identifier | Description | Format Equivalent formats can be used, depending on the syntax used for data transmission | Input/Output data field |
|---|---|---|---|---|
| 1 | Instrument identification code | Code used to identify the financial instrument. | {ISIN} | Both |
| 2 | Instrument status start date and time | Date and time from which the instrument status is valid. The level of granularity shall be in accordance with the requirements set out in Article 12. | {DATE_TIME_FORMAT} | Both |
| 3 | Currency | Major currency in which the instrument is traded. | {CURRENCYCODE_3} | Both |
| 4 | Dissemination date and time | Date and time when the instrument status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | {DATE_TIME_FORMAT} | Output |
| 5 | Instrument status | Description of the status of the financial instrument. The status of the financial instrument shall be one of the following: (1) suspended from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (2) removed from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (3) subject to a trading halt, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU; (4) available for trading after a suspension, removal or halt. | ‘SUSP’ – the instrument is suspended ‘RMOV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV” – the instrument is available for trading after a suspension, removal or halt | Both |
| 6 | Trading venue | Identification of the trading venue on which the instrument status is valid (segment MIC where available, otherwise operating MIC). The trading venue is a regulated market, an MTF or an OTF. | {MIC} | Both |
| 7 | Trading system | Type of trading system on which the instrument is traded | ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ Request for Quotes ‘VOIC’ – Voice trading system ‘HYBR’ – Hybrid System ‘OTHR’ – Other | Both |
Table 3 Regulatory data for bonds, per order matching system
| # | Field identifier | Description | Format Equivalent formats can be used, depending on the syntax used for data transmission | Input/Output data field |
|---|---|---|---|---|
| 1 | Trading venue | Identification of the trading venue on which the order matching system status is valid (segment MIC, where available, otherwise operating MIC). The trading venue is a regulated market, an MTF or an OTF. | {MIC} | Both |
| 2 | Trading system | Type of trading system on which the system status is provided | ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘VOIC’ – Voice trading system ‘HYBR’ – Hybrid System ‘OTHR’ – Other | Both |
| 3 | System status start date and time | Date and time from which the system status is valid The level of granularity shall be in accordance with the requirements set out in Article 12. | {DATE_TIME_FORMAT} | Both |
| 4 | Dissemination date and time | Date and time on which the system status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | {DATE_TIME_FORMAT} | Output |
| 5 | Trading system status | Status of the trading system on which the instrument is traded. | ‘ACTV’ – Active System ‘OTAG’ – Outage of the trading system ‘POTG’ – Partial outage of the trading system | Both |
Table 4 Regulatory data for shares and ETFs, per instrument
| # | Field identifier | Description | Format Equivalent formats can be used, depending on the syntax used for data transmission | Input/Output data field |
|---|---|---|---|---|
| 1 | Instrument identification code | Code used to identify the financial instrument. | {ISIN} | Both |
| 2 | Instrument status start date and time | Date and time from which the instrument status is valid. The level of granularity shall be in accordance with the requirements set out in Article 12. | {DATE_TIME_FORMAT} | Both |
| 3 | Currency | Major currency in which the instrument trades. | {CURRENCYCODE_3} | Both |
| 4 | Dissemination date and time | Date and time on which the regulatory data is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | {DATE_TIME_FORMAT} | Output |
| 5 | Instrument status | Description of the status of the financial instrument. The status of the financial instrument shall be one of the following: (1) suspended from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (2) removed from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (3) subject to a trading halt, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU; (4) available for trading after a suspension, removal or halt. | ‘SUSP’ – the instrument is suspended ‘RMOV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV’ – the instrument is available for trading after a suspension, removal or halt | Both |
| 6 | Trading venue | Identification of the trading venue on which the instrument status is valid (segment MIC where available, otherwise operating MIC). The trading venue is a regulated market or an MTF. | {MIC} | Both |
| 7 | Trading system | Type of trading system on which the instrument is traded. | ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘HYBR’ – Hybrid System ‘OTHR’ – Other | Both |
| 8 | Trading system phase | Type of trading phase of the trading system on which the instrument is traded. | ‘UDUC’ – Undefined Auction ‘SOAU’ – Scheduled Opening Auction ‘SCAU’ – Scheduled Closing Auction ‘SIAU’ – Scheduled Intraday Auction ‘UAUC’ – Unscheduled Auction ‘ODAU’ – On Demand Auction (Frequent Batch Auction) ‘COTR’ – Continuous Trading ‘MACT’ – At Market Close Trading ‘OMST’– Out of Main Session Trading ‘TROE’ – Trade Reporting (On Exchange) ‘TROF’ – Trade Reporting (Off Exchange) ‘TRSI’ – Trade Reporting (Systematic Internaliser) ‘OTSP’ – Other | Both |
| 9 | Most Relevant Market in terms of liquidity | Whether the trading venue in Field 6 is the most relevant market in terms of liquidity. | TRUE – Yes FALSE – No | Output |
Table 5 Regulatory data for shares and ETFs, per order matching system
| # | Field identifier | Description | Format Equivalent formats can be used, depending on the syntax used for data transmission | Input/Output data field |
|---|---|---|---|---|
| 1 | Trading venue | Identification of the trading venue on which the order matching system status is valid (segment MIC where available, otherwise operating MIC). The trading venue is a regulated market or an MTF. | {MIC} | Both |
| 2 | Trading system | Type of trading system on which the system status is provided. | ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘HYBR’ – Hybrid System ‘OTHR’ – Other | Both |
| 3 | System status start date and time | Date and time from which the system status is valid. The level of granularity shall be in accordance with the requirements set out in Article 12. | {DATE_TIME_FORMAT} | Both |
| 4 | System status dissemination date and time | Date and time on which the system status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | {DATE_TIME_FORMAT} | Output |
| 5 | Trading system status | Status of the trading system. | ‘ACTV’ – Active System ‘OTAG’ – Outage of the trading system ‘POTG’ – Partial outage of the trading system | Both |
Table 6 Post-trade core market data for bonds
| # | Field identifier | Description and details to be published | Type of execution or publication venue | Format to be populated as defined in Table 1 Equivalent formats can be used, depending on the syntax used for data transmission | Input/Output data field |
|---|---|---|---|---|---|
| 1 | Trading date and time | Table 2, Field 1, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 2 | Instrument identification code | Table 2, Field 2, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 3 | Price | Table 2, Field 3, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 4 | Missing Price | Table 2, Field 4, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 5 | Price currency | Table 2, Field 5, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 6 | Price notation | Table 2, Field 6, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 7 | Notional amount | Table 2, Field 10, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 8 | Notional currency | Table 2, Field 11, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 9 | Venue of execution | Table 2, Field 13, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 10 | Third-country trading venue of execution | Table 2, Field 14, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 11 | Date and Time when the data contributor received the data | Date and time when the transaction report was received by an APA. The level of granularity shall be in accordance with the requirements set out in Article 15. | APA | {DATE_TIME__ FORMAT} | Input |
| 12 | Date and Time when the data contributor published the transaction | Table 2, Field 15, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 13 | Venue of publication | Table 2, Field 16, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 14 | Transaction Identification Code | Table 2, Field 17, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 15 | Date and Time of reception by the CTP | Date and time when the transaction was received by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | CTP | {DATE_TIME__ FORMAT} | Output |
| 16 | Date and Time of publication by the CTP | Date and time when the transaction was published by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | CTP | {DATE_TIME__ FORMAT} | Output |
| 17 | Flags | Table 2, Field 19, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 18 | Suspicious Data Flag | Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues. | CTP | TRUE or FALSE | Output |
| 19 | Trading System Type | Table 2, Field 20, of Annex II to Delegated Regulation (EU) 2017/583. | Both | ||
| 20 | Number of transactions | Table 2, Field 21, of Annex II to Delegated Regulation (EU) 2017/583. | Both |
Table 7 Post-trade core market data for shares and ETFs
| # | Field identifier | Description and details to be published | Type of execution or publication venue | Format to be populated as defined in Table 1 Equivalent formats can be used, depending on the syntax used for data transmission | Input/ Output data field |
|---|---|---|---|---|---|
| 1 | Trading date and time | Table 3, Field 1, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 2 | Instrument identification code | Table 3, Field 2, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 3 | Price | Table 3, Field 3, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 4 | Missing Price | Table 3, Field 4, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 5 | Price currency | Table 3, Field 5, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 6 | Quantity | Table 3, Field 7, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 7 | Venue of execution | Table 3, Field 8, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 8 | Third-country trading venue of execution | Table 3, Field 9, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 9 | Date and Time when the data contributor received the data | Date and time when the transaction report was received by an APA. The level of granularity shall be in accordance with the requirements set out in Article 15. | APA | {DATE_TIME__ FORMAT} | Input |
| 10 | Trading system | Table 3, Field 10, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 11 | Date and Time when the data contributor published the transaction | Table 3, Field 11, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 12 | Venue of Publication | Table 3, Field 12, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 13 | Transaction identification code | Table 3, Field 13, of Annex I to Delegated Regulation (EU) 2017/587. | Both | ||
| 14 | Date and Time of reception by the CTP | Date and time when the transaction was received by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | CTP | {DATE_TIME__ FORMAT} | Output |
| 15 | Date and Time of publication by the CTP | Date and time when the transaction was published by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. | CTP | {DATE_TIME__ FORMAT} | Output |
| 16 | Flags | This field shall be populated with the list of all applicable flags set out in Table 4 of Annex I to Delegated Regulation (EU) 2017/587. Where none of the specified circumstances apply, the transaction shall be published without a flag. | RM, MTF, APA | As per Table 4 of Annex I to Delegated Regulation (EU) 2017/587 | Both |
| 17 | Suspicious Data Flag | Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues. | CTP | TRUE or FALSE | Output |