RTS 1: Equity and Equity Like Transparency

MiFID II prescribes a series of refinements to transparency in equity and equity like instruments. In many cases it either adapts existing concepts (for example, reducing the maximum time that a trade must be published within) or introduces new concepts such as Approved Publication Arrangements (APAs).

In order to address these requirements Cboe's solutions include:

APA status

Cboe intends to take its existing FCA Trade Data Monitor ("TDM") status forward into the APA regime under MiFID II. For more information on Cboe's perspective on the requirements for DRSPs please see RTS 13.

Support for the revised Large In Scale (LIS) Values

Cboe currently displays LIS values for an instrument in its symbol reference data and uses these values to apply deferral thresholds and to validate certain order types. The new LIS values will be supported as part of the overall MiFID programme of work.

Post Trade Message Format

Cboe' Last Sale Feed makes post-trade only data available in the MiFID II prescribed data format, whether originating from our lit, dark or periodic auction books or from various trade reporting routes. This feed is in a *BETA* only form, which allows a shorter notice period for changes to the message structure. Once various standards are confirmed (for example MMT), we expect to lift this status.


As an early adopter of MMT, we are pleased to see some of the MMT concepts within the transparency requirements for MiFID II. FIX Protocol Limited (FPL) maintains the MMT standard and has been working to define MMTv3, which incorporates new flags required under MiFID II. Once these flags and their equivalent FIX tags and enumerations become available, Cboe expects to incorporate them into relevant market data messages and input specifications.

An example of a new flag specified by ESMA is the ALGO MMT flag. This will be set if an algorithm was involved on either side of the trade. Firms utilising algorithms will be required to indicate such on their input order. This flag is part of a wider theme within MiFID II relating to the market having a better view of the type of trading undertaken.

Machine Readability

Cboe data formats meet the required standards of machine readability, except for one area within BXTR. Cboe allows the reporting of trades in symbols unknown to us for Over the Counter (OTC) trades or trades conducted on third-party MTFs. These are currently published here. To meet the machine readability requirements and customer requests, Cboe intends to start publishing such trades on our data feeds. Thereafter, the web page will be decommissioned.

Trade Breaks

Order book trade breaks were previously published on market data feeds using the Trade Break message, which did not include details about the original trade required under MiFID II. Our Q2 2016 release introduced this functionality, through publication with the Trade - Extended message, which includes all details of the trade and relevant flags, plus setting the MMT trade cancel flag.

Trade Amendments

Trade report amendments are published on Cboe market data using the Trade - Extended message with the Amendment MMT flag set. In line with the requirements laid out in MiFID II and effective with the Q2 2016 release, the message sequencing was changed. The amendment is now first published as a cancellation of the original trade followed by an amendment to the new value. Prior to MiFID II implementation, Cboe will require firms using the ETR service to conduct all trade amendments as amendments and not as cancel/new, so that trades can be flagged appropriately.

Execution Venues

All OTC trades published on our TDM were previously published with a blank execution venue. Effective with the Q2 2016 release, Cboe started publishing Systematic Internaliser trades with "SINT" in the execution venue field while all other OTC trades will have "XOFF" in that field.

Trade Report Deferrals

  • Deferrals of ETRs will only be permitted when one side of the trade was conducted in a principal capacity. In order to facilitate this, the trade reporting interface will change so that capacity will no longer be defaulted at the protocol level. Deferrals may still be defaulted by request, but will be regarded as notification that all unspecified trade reports are conducted on that basis. It will remain up to the Participant to indicate whether they believe a deferral might be possible on the BXTR Trade Data Monitor.
  • Cboe will support the new deferral periods effective from the MiFID II implementation date.
  • For the Cboe Approved Publication Arrangement (APA), multi-day deferrals will need to be published according to the most relevant market in terms of liquidity. Cboe currently supports multi-listed securities and where there are multiple primary listing exchanges/places of settlement for a single ISIN and currency combination, Cboe consolidates these into a single line. The printed name is published in our symbol reference file. Once it is possible to determine the most relevant market, Cboe will ensure that the printed name always points to the line listed on the most relevant market.
  • For the APA, self-deferral of trade reports will continue to be acceptable.

Trade Report Lateness

With MiFID II implementation, trades will be regarded as late if reported more than one minute after the execution time, or for out-of-hours trades, if not reported by 08:00 (London time) the next day.

Negotiated Trades in Illiquid Symbols

Routed transactions to liquidity partners or trade reports conducted in illiquid symbols will be regarded as having used the Illiquid Symbol variant of the Negotiated Transaction pre-trade transparency waiver with MiFID II implementation.


The way transactions execute against iceberg orders will be changed to the MiFID II prescribed manner ahead of the implementation date.

Pre-trade transparency for SI firms

Cboe currently offers a service to assist firms operating as Systematic Internalisers meet their regulatory obligations to make their quotes in liquid MiFID instruments pre-trade transparent to the wider market. In the context of MiFID II, Cboe intends to continue operating this service and will work with users to ensure it meets their requirements.

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