| 2667 | 0 | NonAlgorithmicTrade | | 0 | Non-algorithmic trade | |
| 2667 | 1 | AlgorithmicTrade | | 1 | Algorithmic trade | In the context of ESMA MiFID II, a trade has to be flagged as "algorithmic" if at least one of the matched orders was submitted by a trading algorithm. See Directive 2014/65/EU Article 4(1)(39). |
| 2669 | 0 | PreTradeTransparencyWaiver | | 0 | Pre-trade transparency waiver | There are allowable waivers from the obligation to make public current bid/offer prices and trading depth. In the context of MiFIR, see Article 3 and Article 4. |
| 2669 | 1 | PostTradeDeferral | | 1 | Post-trade deferral | There are allowable deferrals for the post-trade publication of trade transactions. In the context of MiFIR, see Article 7(1). |
| 2670 | 0 | NoBookOrderDueToAverageSpreadPrice | | 0 | No preceding order in book as transaction price set within average spread of a liquid instrument | Per MiFIR Article 4(1)(b)(i) the obligation to place a public order can be waived for transactions of liquid instruments on "systems that formalise negotiated transactions which are made within the current volume weighted spread reflected on the order book or the quotes of the market makers of the trading venue operating that system, subject to the conditions set out in Article 5" of MiFIR on volume caps. "Liquid markets" as per MiFIR Article 2(17)(b) are assessed by the regulator for the purposes of MiFIR Articles 4, 5 and 14. For ESMA RTS 1, this is the "NLIQ" flag. |
| 2670 | 1 | NoBookOrderDueToRefPrice | | 1 | No preceding order in book as transaction price depends on system-set reference price for an illiquid instrument | Per MiFIR Article 4(1)(b)(ii) the obligation to place a public order can be waived for "negotiated transactions which are in an illiquid share, depositary receipt, ETF, certificate or other similar financial instrument that does not fall within the meaning of a liquid market, and are dealt within a percentage of a suitable reference price, being a percentage and a reference price set in advance by the system operator." For ESMA RTS 1, this is the "OLIQ" flag. |
| 2670 | 2 | NoBookOrderDueToOtherConditions | | 2 | No preceding order in book as transaction price is for transaction subject to conditions other than current market price | Per MiFIR Article 4(1)(b)(iii), the obligation to place a public order can be waived in "systems that formalise negotiated transactions which are subject to conditions other than the current market price of that financial instrument." For ESMA RTS 1, this is the "PRIC" flag. |
| 2670 | 3 | NoPublicPriceDueToRefPrice | | 3 | No public price for preceding order as public reference price was used for matching orders | Per MiFIR Article 4(1)(a) the obligation to place a public order can be waived for "systems matching orders based on a trading methodology by which the price of the financial instrument is derived from the trading venue where that financial instrument was first admitted to trading or the most relevant market in terms of liquidity, where that reference price is widely published and is regarded by market participants as a reliable reference price." For ESMA RTS 1, this is the "RFPT" flag. |
| 2670 | 4 | NoPublicPriceDueToIlliquid | | 4 | No public price quoted as instrument is illiquid | According to Article 14(1) MiFIR the systematic internaliser was not obliged to publish the quote prior to closing the trade as it was made in an illiquid instrument. For ESMA RTS 1, this is the "ILQD" flag. |
| 2670 | 5 | NoPublicPriceDueToOrderSize | | 5 | No public price quoted as order is above standard market size | ESMA: As per Article 14(2) MiFIR, the systematic internaliser was not obliged to quote prior to closing the trade as the trade was above the instrument's standard market size. For ESMA RTS 1, this is the "SIZE" flag. |
| 2670 | 6 | DeferralDueToLargeInScale | | 6 | Deferral due to "Large in Scale" | Per MiFID Article 14, publication deferral is permitted if the transaction's volume is large in scale compared to a standard market size, as set in RTS 1/Annex II (thresholds for "large in scale") and RTS 2/Annex III ("LIS and SSTI thresholds"). For ESMA RTS 1 and RTS 2, this is the "LRGS" flag. |
| 2670 | 7 | DeferralDueToIlliquid | | 7 | Deferral due to "Illiquid Instrument" | Publication deferral is permitted if the transaction's instrument is illiquid, as defined by regulator's stipulation. For ESMA RTS 2, this is the "ILQD" flag. |
| 2670 | 8 | DeferralDueToSizeSpecific | | 8 | Deferral due to "Size Specific" | Per MiFIR Article 11, publication deferral is permitted if the transaction's volume is greater than the stipulated 'Size Specific to the financial instrument' threshold. For ESMA RTS 2, this is the "SIZE" flag. |
| 1024 | 5 | AuctionDrivenMarket | | 6 | Auction driven market | Markets where matching occurs only in scheduled auctions. |
| 1024 | 6 | QuoteNegotiation | | 7 | Quote negotiation | Discretionary quoting on request or "request for quote" market. |
| 1430 | A | AuctionDrivenMarket | | 9 | Auction driven market | Markets where matching occurs only in scheduled auctions. |
| 1430 | N | QuoteNegotiation | | 10 | Quote negotiation | Discretionary quoting on request or "request for quote" market. |
| 1839 | 13 | SpecialDividend | | 13 | Special dividend | Deviation from regular ex/cum treatment (without further specification) leading to price modification. To be used only if it is not clear whether it is a special cum or special ex dividend. For ESMA RTS 1, this is the "SDIV" flag. |
| 1839 | 14 | PriceImprovement | | 14 | Price improvement | The price is better than a reference price. For example, this may be due to an offer by a systematic internaliser to always quote better prices than a public reference price. For ESMA RTS 1, this is the "RPRI" flag. |
| 1839 | 15 | NonPriceFormingTrade | | 15 | Non-price forming trade | In the context of MiFID II, these are transactions which are exempted from the trading obligation (i.e. permitted to be transacted as an OTC transaction) and are deemed not to be contributing to the price discovery process. However, these transactions are not exempted from post trade transparency reporting and are required to be published by MiFID venues and "approved publication arrangement" (APAs) for market transparency purposes. The price from exempted transactions should be disregarded for the purposes of price discovery. For ESMA RTS 1 and RTS 2, this is the "NPFT" flag. |
| 1839 | 16 | TradeExemptedFromTradingObligation | | 16 | Trade exempted from trading obligation | Per MiFIR Article 23, these types of trades are not exempted from post-trade transparency if reported to a trading venue under MiFID II and deemed "on exchange", however, they are ignored for price formation despite published by venue. For ESMA RTS 1, this is the "TNCP" flag. |
| 1934 | 11 | LMTF | | 11 | Limited Details Trade | Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(a)(i) for immediate publication of all details except the quantity. This is ESMA RTS 2 deferral flag "LMTF". |
| 1934 | 12 | DATF | | 12 | Daily Aggregated Trade | Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(a)(ii) for aggregated publication of at least 5 transactions before 9:00 a.m. local time next day. This is ESMA RTS 2 deferral flag "DATF". |
| 1934 | 13 | VOLO | | 13 | Volume Omission Trade | Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(b) for immediate publication of all details except the quantity. This is ESMA RTS 2 deferral flag "VOLO". |
| 1934 | 14 | FWAF | | 14 | Four Weeks Aggregation Trade | Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(c) (non-sovereign debt only) for aggregated publication of transactions executed over the course of one calendar week before 9:00 a.m. local time following Tuesday. This is ESMA RTS 2 deferral flag "FWAF". |
| 1934 | 15 | IDAF | | 15 | Indefinite Aggregation Trade | Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(d) (sovereign debt only) for aggregated publication of transactions executed over the course of one calendar week before 9:00 a.m. local time following Tuesday. This is ESMA RTS 2 deferral flag "IDAF". |
| 1934 | 16 | VOLW | | 16 | Volume Omission Trade Eligible for Subsequent Aggregated Enrichment | Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(b) and (d) consecutively (sovereign debt only) for immediate publication of all details except the quantity. This is ESMA RTS 2 deferral flag "VOLW". |
| 1934 | 17 | FULF | | 17 | Full Details Trade of "Limited Details Trade" | Full details of a previously reported "limited details trade (LMTF)". Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(a)(i) which is a follow-up publication of all details before 7pm local time on the second day after initial publication. This is ESMA RTS deferral flag "FULF". |
| 1934 | 18 | FULA | | 18 | Full Details of "Daily Aggregated Trade" | Full details of a previously reported "daily aggregated trade (DATF)". Designates a trade in instruments specified in RTS 2 Article 11 (1)(a)(ii) which is a follow-up publication of the individual transaction with full details before 7pm local time on the second day after initial publication. This is ESMA RTS 2 deferral flag "FULA". |
| 1934 | 19 | FULV | | 19 | Full Details of "Volume Omission Trade" | Full details of a previously reported "volume omission trade (VOLO)". Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(b) which is a follow-up publication of all details before 9 am local time four weeks after initial publication. This is ESMA RTS 2 deferral flag "FULV". |
| 1934 | 20 | FULJ | | 20 | Full Details of "Four Weeks Aggregation Trade" | Full details of a previously reported "four weeks aggregation trade (FWAF)". Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(c) (non-sovereign debt only) which is a follow-up publication of the individual transaction with full details before 9 am local time four weeks after initial publication. This is ESMA RTS 2 deferral flag "FULJ". |
| 1934 | 21 | COAF | | 21 | Full Details in Aggregated Form of "Volume Omission Trade Eligible for Subsequent Aggregated Enrichment" | Full details of a previously reported "volume omission trade eligible for subsequent aggregated enrichment (VOLW)". Designates a trade report in instruments specified in ESMA RTS 2 Article 11(1)(b) and (d) consecutively which is an aggregated publication of transactions executed over the course of one calendar week before 9:00 a.m. CET local time the following Tuesday four weeks after initial publication. This is ESMA RTS 2 deferral flag "COAF". |