MiFID/MiFIR II Trade Reporting Implementation Guidelines
These guidelines provide guidance on implementing the requirements for post trade transparency (referred to in this document as ‘trade reporting’, being a generally accepted term). Much of this material is based on “Standards for the Consolidation of Trade Reports and Market Data in Europe” from the FIX EMEA Trade Data Standardisation Working Group, December 2013, with updates made to bring the text in line with the relevant MiFID II level 2 text (also included).
MiFID II Commission Unbundling Recommended Practices
This document describes the recommended best practices for specifying the research component of a commission, as required by MiFID II.
DRAFT Best Execution Implementation Guidelines – provides guidelines to explain which entities must report under these new requirements, what data they must publish, how often and provide clarity as to how these reports apply to different scenarios based on the entity, their role in the trading workflow and the trading model they employ.
DRAFT AFME_FIX Hand Offs Implementation Guidelines – provides guidelines to show the required information to be passed between parties for Order Data and Record Keeping purposes and the FIX mappings for these.
DRAFT Inter-Firm Data Communication for Transaction Reporting Implementation Guidelines – The MiFID Transaction Reporting Working Group has prepared implementation guidelines for the communication of information between investment firms to facilitate transaction reporting requirements under MiFID II, please see attached.
Additional Guideline Collatoral
MiFID II Order Record Keeping Venue Subgroup – Short Code Standard
Provides details of the short code format as produced by Order Data & Record Keeping Venue Subgroup
MiFID Trading Capacity & FIX Tag 29
Provides details on the usage of Tag 29 (Last Capacity) to meet requirements as defined by ESMA
Recommendations for Algorithmic Testing Test Cases
The MiFID RTS places the obligation to test algorithms on the investment firm operating the algorithms. Though it is ultimately up to individual investment firms to determine how best to achieve this, the following guidelines have been prepared to assist investment firms in meeting these requirements.
DRAFT RTS1 Tree – produced by the FIX MiFID Transparency Subgroup
Provides details on cash equity trading scenarios and usage of the post trade transparency flags to satisfy ESMA requirements as per RTS1 guidelines.
DRAFT RTS2 Tree – produced by the FIX MiFID Transparency Subgroup
Provides details on fixed income and derivatives trading scenarios and usage of the post trade transparency flags to satisfy ESMA requirements as per RTS2 guidelines.
DRAFT Mapping Tables – MiFID Fields to FIX Fields.