Minimum requirements for the quality of transmission protocols
1. For the transmission of input data, data contributors shall offer CTPs at least one transmission protocol that complies with the minimum requirements for the quality of transmission protocols specified in Tables 1 to 4 of Annex I.
2. Upon agreement on the selected transmission protocol for the transmission of input data, CTPs and data contributors shall ensure that the minimum requirements referred to in paragraph 1 are consistently met without interruption.
Real time transmission of data
1. Data contributors shall transmit input data to the data centres of the CTPs as close to real time as technically possible and without artificial delays.
2. Data contributors shall transmit to the CTP for shares and ETFs pre-trade input data as close to real time as is technically possible and in any case no later than 50 milliseconds after the timestamp of the order with a 95 % of confidence interval measured on a daily basis.
3. Data contributors shall transmit to the CTP for shares and ETFs post-trade input data related to transactions executed on a trading venue as close to real time as is technically possible and in any case no later than 50 milliseconds after the timestamp of the transaction with a 95 % of confidence interval measured on a daily basis.
4. Data contributors shall transmit to the CTP for shares and ETFs post-trade input data related to transactions executed outside of a trading venue as close to real time as is technically possible and in any case within 50 milliseconds after the timestamp of the reception of the trade report from the investment firm or DPE with a 95 % of confidence interval measured on a daily basis.
5. Data contributors shall transmit to the CTP for bonds and to the CTP for OTC derivatives post-trade input data related to transactions executed on a trading venue as close to real time as is technically possible and in any case within 500 milliseconds after the timestamp of the execution of the relevant transaction.
6. Data contributors shall transmit to the CTP for bonds and to the CTP for OTC derivatives post-trade input data related to transactions executed outside of a trading venue as close to real time as is technically possible and in any case within 500 milliseconds after the timestamp of the reception of the trade report from the investment firm or DPE.
Data standards and format for the transmission of input data
Data contributors shall transmit to the data centres of CTPs input data in a format that adheres to the ISO 20022 methodology.
Data to be transmitted to the CTP for bonds
1. With regard to core market data for a given bond, data contributors shall transmit to the data centre of the CTP, by reference to each transaction, the details set out in Table 6 of Annex II that are flagged as ‘input’ or ‘both’ in the last column of Table 6.
2. With regard to regulatory data, data contributors shall transmit to the data centre of the CTP, by reference to each financial instrument, the details set out in Table 2 of Annex II that are flagged as ‘both’ in the last column of Table 2.
3. With regard to regulatory data, data contributors shall transmit to the data centre of the CTP, by reference to each trading system, the details set out in Table 3 of Annex II that are flagged as ‘both’ in the last column of Table 3.
Data to be transmitted to the CTP for shares and ETFs
1. With regard to post-trade core market data for a given share or ETF, data contributors shall transmit to the data centre of the CTP all of the following:
(a)
by reference to each transaction, the details set out in Table 7 of Annex II that are flagged as ‘input’ or ‘both’ in the last column of Table 7;
(b)
on the first day of each month ( n ), the list of transactions which were executed in the month prior to that ( n -1) in accordance with Article 4(1), point (c), of Regulation (EU) No 600/2014.
2. With regard to pre-trade core market data for a given share or ETF, data contributors shall transmit to the data centre of the CTP, by reference to each best bid and offer and each price at which the auction system would best satisfy its trading algorithm, the details set out in Table 2 of Annex III.
3. With regard to regulatory data, data contributors shall transmit to the data centre of the CTP, by reference to each financial instrument, the details set out in Table 4 of Annex II that are flagged as ‘both’ in the last column of Table 4.
4. With regard to regulatory data, data contributors shall transmit to the data centre of the CTP, by reference to each trading system, the details set out in Table 5 of Annex II that are flagged as ‘both’ in the last column of Table 5.
Data to be disseminated by the CTP for bonds
1. With regard to core market data for a given bond, the CTP shall disseminate, by reference to each transaction, the details set out in Table 6 of Annex II that are flagged as ‘output’ or ‘both’ in the last column of Table 6.
2. With regard to regulatory data relating to bonds, the CTP shall disseminate:
(a)
by reference to each financial instrument, the details set out in Table 2 of Annex II that are flagged as ‘output’ or ‘both’ in the last column of Table 2;
(b)
by reference to each trading system, the details set out in Table 3 of Annex II that are flagged as ‘output’ or ‘both’ in the last column of Table 3.
Data to be disseminated by the CTP for shares and ETFs
1. With regard to post-trade core market data for a given share or ETF, the CTP shall disseminate, by reference to each transaction, the details set out in Table 7 of Annex II that are flagged as ‘output’ or ‘both’ in the last column of Table 7.
2. With regard to pre-trade core market data for a given share or ETF, the CTP shall disseminate, by reference to the European best bid and offer or the price at which the auction system would best satisfy its trading algorithm, the details set out in Tables 3, 4 and 5 of Annex III.
3. With regard to regulatory data relating to shares and ETFs, the CTP shall disseminate all of the following:
(a)
by reference to each financial instrument, the details set out in Table 4 of Annex II that are flagged as ‘output’ or ‘both’ in the last column of that Table;
(b)
by reference to each trading system, the details set out in Table 5 of Annex II that are flagged as ‘output’ or ‘both’ in the last column of Table 5.
Dissemination of output data to ensure machine-readability and human-readability
1. CTPs shall disseminate the output data in a Graphical User Interface to ensure human readability.
2. CTPs shall also disseminate the output data in at least the following two formats simultaneously:
(a)
Comma-Separated Values;
(b)
a format that adheres to the ISO 20022 methodology.
3. CTPs shall:
(a)
make instructions available to the public, explaining how and where to easily access and use the data, including the identification of the electronic format;
(b)
make public any changes to the instructions referred to in point (a) at least three months before they come into effect, unless there is an urgent and duly justified need for changes in instructions to take effect more quickly;
(c)
include on the homepage of their website a link to the instructions referred to in point (a).
Management of incomplete or potentially erroneous information by CTPs
1. CTPs shall set up and maintain appropriate arrangements that ensure that they accurately collect, consolidate and publish the information received from data contributors and do not introduce any errors or omit information. CTPs shall correct the information where they have themselves caused the error or omission.
2. CTPs shall continuously monitor in real-time the performance of their IT systems to ensure that the input data they have received are successfully consolidated and published.
3. CTPs shall perform periodic reconciliations between the input data they receive and the output data they publish to verify whether the output data have been correctly published.
4. CTPs shall put in place mechanisms to confirm to data contributors that they have received the input data and shall assign a transaction identification code to each input data message they receive. CTPs shall refer to the transaction identification code in any subsequent communication with the data contributor in relation to a specific set of information reported.
5. CTPs shall set up and maintain arrangements to identify received input data that are incomplete, do not fulfil the requirements laid down in Articles 5 and 6, or contain information that is likely to be erroneous. Those arrangements shall include automated price and volume alerts, taking into account:
(a)
the sector and the segment in which the financial instrument is traded;
(b)
liquidity levels, including historical trading levels;
(c)
appropriate price and volume benchmarks;
(d)
where needed, other parameters that are proper for the characteristics of the financial instrument.
6. CTPs that find out that the input data they received are incomplete or do not fulfil any other reporting requirements in this Regulation shall not publish those input data and shall promptly alert the data contributor submitting those input data.
7. CTPs that find out that the input data they received are likely to be erroneous shall disseminate the corresponding output data and shall promptly flag the potential data quality issue both to the public and to the data contributor.
8. Upon receiving a notification of a data quality issue, data contributors shall acknowledge the issue and, where necessary, initiate the process of resubmitting corrected data.
9. CTPs shall monitor the timeliness of input data received from data contributors for the identification of serious and repeated breaches of the requirements laid down in Article 3.
10. CTPs shall delete and amend information in a trade report upon request from the data contributor providing the information where that data contributor cannot delete or amend its own information for technical reasons.
11. CTPs shall communicate with their clients via formalised interactive communication mechanisms through which data users may flag to the CTP any potential inaccuracies in the dissemination of output data.
12. CTPs shall publish non-discretionary policies describing the measures to enforce data quality and how those measures are applied. Those policies shall contain clear guidance on the application of such measures, ensuring adherence to non-discretionary application, proportionality, timeliness, consistency, and transparency.
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
