mifid ii: migration guidelines for utp cash and ... · mifid ii: migration guidelines for utp cash...
TRANSCRIPT
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
© 2017 Euronext N.V. - All rights reserved. 1.2
Document title
MIFID II: MIGRATION GUIDELINES FOR UTP CASH AND DERIVATIVES AND REPORTING SERVICES
Document type or subject
Guidelines
Version number Date
1.2 29 Dec 2017
Number of pages Author
23 Euronext
This document is for information purposes only. The information and materials contained in this document are provided ‘as is’ and Euronext does not warrant the accuracy, adequacy or completeness and expressly disclaims liability for any errors or omissions. This document is not intended to be, and shall not constitute in any way a binding or legal agreement, or impose any legal obligation on Euronext. This document and any contents thereof, as well as any prior or subsequent information exchanged with Euronext in relation to the subject matter of this presentation, are confidential and are for the sole attention of the intended recipient. Except as described below, all proprietary rights and interest in or connected with this publication shall vest in Euronext. No part of it may be redistributed or reproduced without the prior written permission of Euronext. Portions of this presentation may contain materials or information copyrighted, trademarked or otherwise owned by a third party. No permission to use these third party materials should be inferred from this presentation. Euronext refers to Euronext N.V. and its affiliates. Information regarding trademarks and intellectual property rights of Euronext is located at https://www.euronext.com/terms-use.
2
PREFACE
PURPOSE
This document outlines the implementation strategy of MiFID II required changes that will impact
Euronext’s Cash and Derivatives markets and the reporting services required for the new Directive.
TARGET AUDIENCE
The intended audience of this document is any client connecting to and trading on the Euronext Cash and
Derivatives markets.
This document is for informational purposes only, and should be consulted alongside its associated
documents, as outlined in section 5 of this document.
WHAT’S NEW?
The following lists only the most recent modification made to this revision/version. For the Document
History table, see the Appendix.
REVISION NO./
VERSION NO.
DATE AUTHOR CHANGE DESCRIPTION
1.2 29 Dec 2017 Euronext Amended Cash functional implementation schedule with OTC Clear information still available on TCS in Q1 2018
1.1 14 Dec 2017 Euronext Amended information on the Cash Markets order book purge and warrants market availability on 29 December 2017
Added information on Prorogation Buy & Sell discontinuation in TCS
1.0 3 Nov 2017 Euronext Version 1
3
CONTENTS
1. INTRODUCTION .......................................................................................................................... 4
2. CASH MARKETS ........................................................................................................................... 5
2.1 TECHNICAL IMPLEMENTATION SCHEDULE ............................................................................................ 5
2.2 FUNCTIONAL IMPLEMENTATION SCHEDULE ......................................................................................... 7
3. DERIVATIVES MARKETS ............................................................................................................... 9
3.1 TECHNICAL IMPLEMENTATION SCHEDULE ............................................................................................ 9
3.2 FUNCTIONAL IMPLEMENTATION SCHEDULE ....................................................................................... 10
4. MIFID II REGULATORY REPORTING SOLUTION ............................................................................ 12
5. MIFID II DOCUMENTATION LIST - BY MEMBER TYPE ................................................................... 14
5.1 ALL MEMBERS ...................................................................................................................................... 14
5.2 CASH MARKETS MEMBERS .................................................................................................................. 15
5.3 DERIVATIVES MARKETS MEMBERS ...................................................................................................... 16
5.4 COMMODITY DERIVATIVES MEMBERS ................................................................................................ 17
5.5 NON-MIFID MEMBERS ......................................................................................................................... 18
5.6 MARKET MAKERS ................................................................................................................................. 19
5.7 ALGO TRADERS ..................................................................................................................................... 20
5.8 ISV / ASP ............................................................................................................................................... 21
6. SUPPORT .................................................................................................................................. 23
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
4
1. INTRODUCTION
MiFID II, the revised Markets in Financial Instruments Directive, is scheduled to enter into force on 3
January 2018. To secure Euronext’s MiFID II compliance on 3 January 2018, the current UTP matching
engines have been updated for both Euronext Cash and Derivatives Markets.
MiFID II requirements for Euronext Market Data have been deployed with the launch of the Optiq Market
Data Gateway (MDG) for both Cash and Derivatives Markets. An updated version of the software was
delivered alongside the Derivatives Markets upgrade, with a new SBE template.
To fulfil MiFID II requirements for Order Record Keeping, Commodity Position Reporting and Non-MiFID
Member Reporting, Euronext has furthermore deployed a dedicated MiFID II Regulatory Reporting
Solution.
The purpose of this document is to inform clients on the Euronext migration approach and timelines to
ensure MiFID II readiness on 3 January 2018, encompassing both the release of technical requirements as
well as the implementation of functional requirements.
Please consult the relevant technical specifications, technical notes, guidelines and scripts for a complete
overview of the MiFID II changes on Euronext Markets.
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
5
2. CASH MARKETS
The following section outlines the technical and functional implementation schedules for MiFID II
requirements on Euronext Cash Markets.
2.1 TECHNICAL IMPLEMENTATION SCHEDULE
On 13 November 2017, the changes impacting Timestamp Granularity an Algo Flagging on Binary and FIX
private messages, as well as the End of Day (EOD) Trade File updated with Timestamp Granularity, were
implemented in production. On 27 November 2017, the Market Data Gateway was updated with a new SBE
template 1.17.1, replacing previous version 1.16.16 on the Euronext File Server. The EOD Trade File will be
updated with Waiver Indicators as of 3 January 2018.
Starting 3 January 2018, MiFID II short codes will be required, via either order entry or SLC Manager.
For full details on the implementation of the aforementioned changes, please refer to the MiFID II
Implementation Guide for Euronext Cash Markets and the technical specifications listed in section 5.2 of
this document.
UPDATED CASH MARKETS TECHNICAL IMPLENTATION SCHEDULE
Availability in P-EUA
Conformance
deadline
Production
implementation
UTP-Cash Binary & FIX private messages Timestamps, Algo Flag, Short Codes and DEA Indicator, Iceberg thresholds
20 Sep 2017 27 Oct 2017 13 Nov 20171
SLC Manager Short Code and DEA Indicator by OrderID
8 Nov 2017 Not applicable 3 Jan 2018
End Of Day (EOD) Trade file Timestamps and Waiver Indicator
27 Sep 2017 Not applicable
13 Nov 2017 for Timestamps
3 Jan 2018 for Waiver Indicator
Market Data Gateway New SBE template 1.17.1
4 Oct 2017 Not applicable 27 Nov 2017
Testing environment & Conformance
On UTP-Cash Binary & FIX private messages, conformance testing is mandatory for the following changes:
■ Members implementing TradeTimeSecondsGranularity (FIX 4.2 and Binary V6); ■ Members who are using Algorithm as the executing decision maker; ■ Members who will supply Short Codes and DEAIndicator at order entry; ■ Members who support Iceberg orders.
_________________________________________________________________________________________________________________________ 1 Production on 13 Nov 2017 encompasses only Timestamp Granularity and Algo Flagging.
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
6
The conformance testing period ended on 27 October 2017. Customers who were unable to complete
their conformance tests by then are asked to contact CTSG immediately.
Conformance tests for Euronext Cash Markets take less than 30 minutes to complete and can be performed
through self-testing. Customers are expected to provide their test results using a dedicated web form upon
completion, at which point the results will be validated by Euronext. If successful, a conformance certificate
will be provided by Euronext via e-mail. Additional details are available in the CCG Conformance Guidelines
document as well as the Conformance Script. The testing environment is available for conformance on
Monday – Friday from 09:00 until 17:00 CET.
Members who choose to identify the relevant parties to an order through a flat file upload by OrderID via
SLC Manager are invited to test the solution until 15 December 2017. Members are required to notify CTSG
of the completion of their tests using a dedicated web form in order to be allowed to access Production.
On the End of Day Trade Files, Euronext has added the WaiverIndicator for transactions in TCS, where applicable, and TradeTimeSecondsGranularity for Members not developing timestamps order entry. The End of Day file is available in P-EUA for testing against Member’s transaction reporting solutions. To obtain access to the file, MCAs are required to need to fill in the dedicated web form managed by Euronext CAS.
Testing the Order Book Purge in EUA
On 18 December 2017 the Central Order Book (COB) for Euronext Cash Markets will be purged by
Customer Technical Support Group (CTSG) for all asset classes, order types and validity types starting 17:00
CET.
Members can send some orders before 17:30 CET, in order to validate the purge process. All the book
orders will be cancelled and members will receive a real-time notification of the orders cancelled by
Euronext CTSG.
Order entry level Binary format = an order kill message (4) with the
field “OrdStatus” populated with the value “S”
Cancelled by Market Operations
FIX format = an execution report message (8) with
the fields ExecType, ExecTransType & OrdStatus
populated respectively with “4”, “0” and “S”,
meaning that the cancellation has been triggered
by Euronext Market Operations
Market data level MarketStatusChange message(1005) will reflect
the different phase changes that each instrument
will have;
OrderUpdate message(1002) will reflect each
order cancellation.
Once the purge will be completed, the Central Order Book (COB) for Euronext Cash Markets will be
renewed and we will invite Members to resubmit their order with the new tick size configuration in place.
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
7
2.2 FUNCTIONAL IMPLEMENTATION SCHEDULE
On 29 December 2017, the Euronext Cash Markets will close at the usual time, with the exception of the
Warrants and Certificates market, which will close at 17:30 CET.
On the same day, the Central Order Book (COB) for Euronext Cash Markets will be purged by Euronext
Market Surveillance (EMS) for all asset classes, order types and validity types. The operation will take place
between 17:40 and 18:00 CET.
Members may cancel their orders directly if they wish to do so before the indicated times.
Members will receive a real-time notification of the orders cancelled by Euronext EMS as follows:
In Binary format: an order kill message (4) with the field “OrdStatus” populated with the value “S” Cancelled by Market Operations
In FIX format: an execution report message (8) with the fields ExecType, ExecTransType & OrdStatus populated respectively with “4”, “0” and “S”, meaning that the cancellation has been triggered by Euronext Market Operations
Order cancellations will also be reflected in the Market Data feed on 29 December 2017.
All cancelled orders will lose their existing order book priority. New orders may be submitted the following
trading day. Newly submitted orders will obtain a new priority that applies to the relevant financial
instrument (i.e. price/time). Members are encouraged to immediately reflect the cancellations back to their
clients.
As of 2 January 2018, new thresholds for Iceberg orders, as well as the new Tick Sizes and the amended
management of cross trades for cash instruments will be effective. The updated Cash Tick Size Referential
File will be available as of 29 December 2017 after 22:00 CET for the Standing Data file and on 2 January
2018 after the Start of Day message for the MDG Standing Data messages (1007).
Please note that these operations will be rehearsed on Monday 18 December 2017 in the EUA
environment after market close.
As of 3 January 2018, MiFID II identifiers to an order (short codes, DEAIndicator and executing decision
algo flag) are required on UTP-Cash. Clients may, however, choose to identify the relevant parties to an
order ahead of MiFID II entry into force. Euronext will not validate short codes upon order entry or reject
orders if short codes have not been declared ahead of trading.
As of 3 January 2018, Members will be required to supply short and long code mapping via SLC Manager.
SLC Manager has, however, been available for short and long code declarations since 6 December 2017 for
Members who wish to supply this information ahead of MiFID II entry into force.
As of 3 January 2018, Euronext will implement the following MiFID II changes for Euronext’s Trade
Confirmation System (TCS) : new LIS sizes, new controls to reject orders on Bonds and Warrants below LIS2,
rules for deferred publication on Equities and ETFs, prohibition on deferred publication for Bonds and
Warrants. Euronext will discontinue Prorogation Buy & Sell in TCS and the eTCS portal from 2 January
2018. OTC reporting services will be available in Saturn as of 3 January 2018. TCS operation ’K‘, called ’OTC
Trade‘ will remain available on TCS, until implementation of the Saturn GUI functionality.
_________________________________________________________________________________________________________________________ 2 Orders submitted below LIS on Equities and ETFs will be executed under Negotiated Trade Waivers.
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
8
On 3 January 2018, Order to Trade Ratio monitoring will start. Euronext will calculate the ratio of
unexecuted orders to transactions per member and per financial instrument. When there are no trades, the
ratio will be considered equal to the numerator. Euronext will not block access to market if ratios are
breached.
As of 3 January 2018, the compliance of the Market Maker with its obligations under the terms of the
Market Making Agreement will be monitored continuously by Euronext. The Market Maker will be
informed of its compliance with the requirements on a daily basis via a dedicated report outlining the
performance per instrument for the previous trading day.
CASH MARKETS FUNCTIONAL IMPLEMENTATION SCHEDULE
Functionality Requirement Effective Date
Order book purge
Central Order Book (COB) purge for Euronext Cash Markets after 17:40 CET on Friday 29 December 2017 for all asset classes, order types and validity types.
29 Dec 2017 after 17:40 CET The Warrants market will close at
17:30 CET on that day
Tick sizes Implementation of new tick sizes for Equities and ETFs with a 100% European equity underlying.
2 Jan 2018, with updated referential data available on 29 December 2017 after 22:00 CET
Iceberg Orders
Implementation of new Iceberg Order Thresholds for Euro denominated instruments, and the discontinuation of Iceberg orders on non-Euro denominated instruments.
2 Jan 2018
Management of cross trades for cash instruments
Euronext will not accept Guaranteed Cross orders on Bonds, Securitized Derivatives & ETN / ETC and on non-Euro denominated instruments. Orders will be rejected with error code 20360. Euronext will implement automatic rejections on orders / instruments on the Central Order Book (COB) that are subject to a Volume Cap. Following announcement of a Volume Cap breach by ESMA for an instrument, Guaranteed Cross orders on Equities below Large In Scale (LIS), will be rejected with error code 20360
2 Jan 2018
MiFID II identifiers Identification of the relevant parties to an order, including: short codes, DEA Indicator and the execution Algo flag.
3 Jan 2018
SLC Manager Supply of a mapping between of short codes used on order entry and long codes used for regulatory reporting.
3 Jan 2018
Trade Confirmation System (TCS)
Implementation of new TCS thresholds and policies as well as the transfer of OTC one side Trade Reporting from TCS to Saturn.
3 Jan 2018
Order to Trade ratio monitoring
Daily monitoring of unexecuted orders to transactions per second.
3 Jan 2018
Market Making monitoring Daily Market Maker compliance monitoring and performance reporting per instrument for the previous trading day.
3 Jan 2018
Trade Confirmation System
(TCS)
Transfer of OTC Trade (type K) from TCS to Saturn Q1 2018
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
9
3. DERIVATIVES MARKETS
The following section outlines the technical and functional implementation schedules for MiFID II
requirements on Euronext Derivatives Markets.
3.1 TECHNICAL IMPLEMENTATION SCHEDULE
On 27 November 2017, the implementation of the MiFID II changes on UTP-Derivatives and Atom-X was
made available in Production. On the same day, the Market Data Gateway was updated with a new SBE
template 1.17.1, replacing previous version 1.16.16 on the Euronext File Server.
Starting 3 January 2018, MiFID II short codes and indicators on order entry will be mandatory on UTP-
Derivatives.
Additional details are provided in the MiFID II technical note for Derivatives and in the technical
specifications available in section 5.3 of this document.
DERIVATIVES MARKETS
Availability in P-EUA
Conformance
deadline
Production
implementation
UTP-Derivatives Binary & FIX private messages
13 Sep 17 and 18 Oct 17
27 Oct 2017 27 Nov 2017
Atom-X 18 Oct 2017 17 Nov 2017 27 Nov 2017
Market Data Gateway New SBE template 1.17.1
4 Oct 2017 Not applicable 27 Nov 2017
Testing environment & Conformance
On UTP-Derivatives, all of the MiFID II changes have been made fully available in the Euronext test
environment. Conformance validation is mandatory for in-house member developers, technology
providers, and customers using both in-house development and technology provider software, prior to
using the updated order entry messages in Production. The conformance testing period ran until 27
October 2017. Customers who were unable to complete their conformance tests by 27 October 2017 are
asked to contact CTSG immediately.
Testing can be performed independently and there is no need to book a conformance testing slot with a
Euronext Customer Technical Support Group (CTSG) Analyst. Customers are expected to provide their test
results using a dedicated web form upon completion, at which point the results will be validated by
Euronext. If successful, a conformance certificate will be provided by Euronext via e-mail. Additional details
are available in the CCG Conformance Guidelines document as well as the Conformance Script. The testing
environment is available for conformance on Monday – Friday from 09:00 until 17:00 CET.
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
10
3.2 FUNCTIONAL IMPLEMENTATION SCHEDULE
On 27 November 2017, Euronext implemented the MiFID II changes on UTP Derivatives in Production.
Since then and until 3 January 2018, MiFID II identifiers to an order will be available for use but not yet
mandatory. However, Euronext will apply technical controls on all MiFID II fields should one of the fields be
populated.
Since 27 November 2017, the implementation of the MiFID II changes on Atom-X have been made
available in Production. Since then, MiFID II identifiers to an order have been mandatory. However,
Euronext will allow the use of synthetic generic data.
On 2 January 2018 the Central Order Book (COB) for Euronext Derivative Markets will be purged by
Euronext Market Surveillance (EMS) for GTC and GTD orders on all instruments in the following tranches:
Between 18:00 and 18:15 CET o AF - Amsterdam Stock Futures (+ foreign stock futures) o AO - Amsterdam (& German) Individual Equity Options o KO - Amsterdam Index Options (+ Lisbon Index Options) o PF - Paris Stock Futures o PO - Paris Individual Equity Options o JO - Paris Index Options o BF - Brussels Stock Futures o BO - Brussels Individual Equity Options o FO - Brussels Index Options o FF - Brussels Index Futures o SF - Lisbon Stock Futures o MF - Lisbon Stock Index (PSI20) Future o ZF - Euro/ Dollar Futures o ZO - Euro/ Dollar Options
Between 19:00 and 19:30 CET o RF - Commodity Future Amsterdam o YF - Commodity Future Paris o YO - Commodity Options
Between 22:15 and 22:30 CET o JF - Paris Index Futures/ European Index Futures o KF - Amsterdam Index Futures
Members may cancel their orders directly if they wish to do so before the indicated times.
Members will receive a real-time notification of the orders cancelled by Euronext EMS as follows:
Binary: Customers will receive one or more Cancel Notification Reports (UD) messages upon the Exchange order pull. Each message contains the number of pulled orders and for each order the OrderID and OrigClOrdID.
FIX: Customers will receive for each order pulled by the Exchange an Execution Report (8) with relevant order details plus OrdStatus - Fix 39 = 4 and ExecType - Fix 150 = 4
All cancelled orders will lose their existing order book priority. New orders may be submitted the following
trading day. Newly submitted orders will obtain a new priority that applies to the relevant financial
instrument (i.e. price/time). Members are encouraged to immediately reflect these cancellations back to
their clients.
As of 3 January 2018, Euronext will apply technical controls on all MiFID II fields; if mandatory and
conditional fields have not been filled as required, the order will be rejected with an error message.
However, Euronext will not reject synthetic generic data.
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
11
As of 3 January 2018, Members will be required to supply short and long code mapping via SLC Manager.
Euronext will not validate short codes upon order entry or reject orders if short codes have not been
declared ahead of trading. SLC Manager has, however, been available for short and long code declarations
since 6 December 2017 for Members who wish to supply this information ahead of MiFID II entry into
force.
On 3 January 2018, Order to Trade Ratio monitoring will start. Euronext will calculate the ratio of
unexecuted orders to transactions per member and per financial instrument. When there are no trades, the
ratio will be considered equal to the numerator. Euronext will not block access to market if ratios are
breached.
As of 3 January 2018, the compliance of the Market Maker with its obligations under the terms of the
Market Making Agreement will be monitored continuously by Euronext. The Market Maker will be
informed of its compliance with the requirements on a daily basis via a dedicated report outlining the
performance per instrument for the previous trading day.
DERIVATIVE MARKETS FUNCTIONAL IMPLEMENTATION SCHEDULE
Functionality Requirement Effective Date
MiFID II identifiers in Atom-X Identification of the relevant parties to an order 27 Nov 2017
Order book purge
Central Order Book (COB) purge for Euronext Derivatives Markets after market close on Tuesday 2 January 2018 for all GTC and GTD orders.
2 Jan 2018 after market close
18:00 CET for AF, AO, BF, BO, FF, FO, JO, KO, MF, PF, PO, SF, ZF,
ZO 19:00 CET for RF, YF, YO
22:15 CET for JF, KF
MiFID II identifiers in UTP-Derivatives
Identification of the relevant parties to an order, including but not limited to: short codes, algo flags, DEA Indicator
3 Jan 2018
SLC Manager Supply of a mapping between of short codes used on order entry and long codes used for regulatory reporting.
3 Jan 2018
Order to Trade ratio monitoring
Daily monitoring of unexecuted orders to transactions per second.
3 Jan 2018
Market Making monitoring Daily Market Maker compliance monitoring and performance reporting per instrument for the previous trading day.
3 Jan 2018
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
12
4. MIFID II REGULATORY REPORTING SOLUTION
The Euronext MiFID II Regulatory Reporting Solution, covering Short Long Code (SLC) Manager,
Commodities Position Reporting, and Non-MiFID Member Reporting are offered within the Saturn tool.
Euronext would like to remind members of the compulsory nature of the MiFID II reporting tools:
■ SLC Manager is a mandatory application for all Euronext Members; ■ Non-MiFID Member Reporting is mandatory for all non-MiFID Euronext Members; and ■ Commodity Position Reporting is mandatory for all Commodity Members.
Customers are invited to complete thorough testing of the reporting functionalities before 15 December
2017.
IMPLEMENTATION SCHEDULE
Availability in P-EUA Testing deadline Pre-Production Production
SLC Manager 27 Sep 2017 15 Dec 2017 6 Dec 2017 3 Jan 2018
Non-MiFID Member Transaction Reporting
27 Sep 2017 15 Dec 2017 Connectivity from 6
Dec 2017 3 Jan 2018
Commodity Position Reporting
27 Sep 2017 15 Dec 2017 Connectivity from 6
Dec 2017 3 Jan 2018
The MiFID II Regulatory Reporting Solutions will be enforced as of 3 January 2018. SLC Manager has,
however, been available in Pre-Production for short and long code declarations since 6 December 2017 for
Members who wish to supply this information ahead of MiFID II entry into force. Please note that the Pre-
Production environment for SLC Manager is considered equivalent to Production and is not meant for
customer testing. All data submitted in Pre-Production will be stored as per MiFID II requirements. If
customers wish to test in Pre-Production, Euronext recommends sending an empty file with the correct
headers and file naming convention.
Onboarding
To obtain access to the Regulatory Reporting Solution, Member Connectivity Administrators (MCAs) are
required to submit a service access request using the Saturn Access web form(s) available on Euronext
Connect:
■ Euronext Connect > MiFID 2 > Saturn > Login Creation https://connect2.euronext.com/ Secure ID Cards Order Form for Saturn Services
Members will be provided with SecurID® Card for GUI access by Euronext Customer Access Services (CAS)
following completion of the web forms. To obtain a Certificate for API access, Members are invited to
submit a request directly via the Saturn interface using the Digicert link. Euronext will validate the request
and the Member will receive the Certificate by email. The Member or appointed service provider shall
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
13
install the Certificate and use it to access Saturn via API. Once they have tested their software, customers
need to contact CTSG to confirm that they were able to successfully upload files for reporting purposes.
To obtain access to the production environment, Euronext requires all Members to:
1. become familiar with the Terms and Conditions governing access to and use of the Euronext
Regulatory Reporting Solution;
2. return by 4 December 2017 to Euronext Membership the Registration Form duly completed with
information relevant to the use of the Euronext Regulatory Reporting Solution and signed by the
Authorised Representative. Customers who have not returned their Regulatory Registration Form
are required to contact Euronext Membership immediately.
The Registration Form and associated Terms & Conditions are available on the Euronext website as follows:
■ MiFID II > MiFID II Resources > Background Information > MiFID II - Regulatory Reporting Solution
www.euronext.com/mifid-2
– Euronext Reporting Solution - Registration Form
– Euronext Reporting Solution - Terms and Conditions
For the avoidance of doubt, the reporting obligation and execution of associated documentation is always
the responsibility of Members, notwithstanding the fact that Members can, for Commodity Position
Reporting only, under their responsibility and in accordance with any guidance issued on the subject by
Euronext from time to time, grant technical access to Clients able and willing to report by themselves all or
part of the regulatory information expected.
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
14
5. MIFID II DOCUMENTATION LIST - BY MEMBER TYPE
5.1 ALL MEMBERS
Requirement Documentation Available on
Euronext website
SLC Manager
To fulfil the requirements for Order Record
Keeping under RTS 24, Euronext requires
members to submit a mapping between short
codes and corresponding long codes via the
dedicated application ‘SLC Manager’.
SLC Manager is a mandatory application for all
Euronext Members per 3 January 2018.
Customers are invited to complete thorough
testing of SLC Manager in EUA before 15
December 2017. SLC Manager will enter into
Production on 3 January 2018. SLC Manager is
available in Pre-Production for short and long
code declarations for Members who wish to
supply this information ahead of MiFID II entry
into force. Please note that the Pre-Production
environment for SLC Manager is considered
equivalent to Production and is not meant for
customer testing. All data submitted in Pre-
Production will be stored as per MiFID II
requirements. If customers wish to test in Pre-
Production, Euronext recommends sending an
empty file with the correct headers and file
naming convention.
To obtain access to SLC Manager EUA, Member
Connectivity Administrators (MCAs) are required
to submit a service access request using the
Saturn Access web form(s) available on the
Euronext Connect. Members will be provided
with SecurID® Card for GUI access by Euronext
Customer Access Service (CAS). To obtain a
Certificate for API access, Members are invited
to submit a request directly via the Saturn
interface using the Digicert link. Euronext will
validate the request and the Member will
receive the Certificate by email. The Member or
appointed service provider shall install the
Certificate and use it to access Saturn via API.
Customers are requested to contact CTSG after
testing to confirm that they were able to
successfully upload files for reporting purposes.
Technical specifications
Euronext Short Long Code
Management Application v2.2
EUA and Production Log-in credentials
https://connect2.euronext.com
Euronext Reporting Solution -
Registration Form
Euronext Reporting Solution - Terms
and Conditions
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
15
To obtain access to the production environment,
Euronext requires all Members to:
3. become familiar with the Terms and
Conditions governing access to and use
of the Euronext Regulatory Reporting
Solution;
4. return by 4 December 2017 to Euronext
Membership the Registration Form duly
completed with information relevant to
the use of the Euronext Regulatory
Reporting Solution. Members who have
not returned the form are required to
contact Euronext Membership
immediately.
Harmonised Rulebook and Trading Manual
The Euronext Rulebook and Trading Manuals
have been amended to conform with MiFID II
requirements. Euronext has made the draft
available for Member review with track changes.
The final Rulebook, Trading Manual and
Procedures are expected to be published by 1
December 2017, subject to regulatory approval.
Harmonised Rulebook – Illustrative
MiFID II version
Trading Manual – Illustrative MiFID II
Version
Trading Manual – off order book
facilities - Illustrative MiFID II Version
Final Rulebook, Trading Manual and
Trading Procedures
To be published 1
December 2017
Provision of data from Euronext for RTS 6 and
RTS 22
All members will be required to transaction
report their trades and keep records of orders.
To assist clients in their readiness, Euronext has
provided a mapping of application of the
requirements for Transaction Reporting (RTS 22)
and Order Record Keeping (RTS 6), for the
activity conducted on Euronext Regulated
Markets.
Provision of data from Euronext for
Transaction Reporting (RTS 22) and
Order Record Keeping (RTS 6)
5.2 CASH MARKETS MEMBERS
Requirement Documentation Available on
Euronext website
Technical specifications
To ensure MiFID II compliance for Euronext Cash Markets, Euronext will introduce a number of minor changes to its Cash legacy environment. Technical changes are detailed in the client specifications.
Please note: Euronext advises members to read
the technical specifications in conjunction with
Euronext Cash Regulated Markets –
CCG Client Specifications – Binary V4
Interface v2.5.2
Euronext Cash Regulated Markets –
CCG Client Specifications – Binary V5
Interface v1.3.2
Euronext Cash Regulated Markets –
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
16
the MiFID II Implementation Guide –
Implementing MiFID II requirements for
Euronext Cash Markets, as well as the
conformance script and guidelines.
CCG Client Specifications – Binary V6
Interface v1.3.2
Euronext Cash Regulated Markets –
CCG Client Specifications – FIX 4.2
Interface - v2.5.2
Euronext Cash Regulated Markets –
End of Day Files Specifications – v1.3.2
Implementation guidelines
To ensure MiFID II compliance, Euronext will
introduce a number of changes to its Cash legacy
environment. The MiFID II Implementation
Guide outlines the changes on Euronext legacy
Cash Markets and the associated terms of
reference, such as short code submission.
Please note: the implementation guide should be
read in conjunction with the technical
specifications, conformance script and
conformance guidelines.
MiFID II Implementation Guide –
Implementing MiFID II requirements
for Euronext Cash Markets v3.0
Conformance script and guidelines
Light conformance testing is required for
Euronext Cash Markets Members , as described
in the conformance script and guidelines.
Conformance Script – CCG- Light- MIFID- II (FIX and Binary)v1.1
Conformance Guidelines – CCG- Light-
MIFID- II (FIX and Binary)v1.1
Tick Sizes
Implementation of new tick sizes for Equities and
ETFs with a 100% European equity underlying.
New Tick sizes will be enforced on Tuesday 2
January 2018.
Euronext new tick size regime for
MiFID II
Order to Trade Ratio
Euronext will calculate the ratio of unexecuted
orders to transactions per member and per
financial instrument. OTR monitoring will start as
of 3 January 2018.
Order-to-Trade ratio: calculation and
monitoring by Euronext
5.3 DERIVATIVES MARKETS MEMBERS
Requirement Documentation Available on
Euronext website
Technical specifications
To secure Euronext’s MiFID II compliance on 3 January 2018, the current UTP Derivative matching engine will be updated. Technical changes are detailed in the client specifications.
Please note: Euronext advises members to read
the technical specifications in conjunction with
CCG Binary Client Specifications –
v3.1.3 – MiFID II
CCG FIX 5.0 Client Specifications –
v3.1.3 – MiFID II
AtomX Trader User Guide v 6.3.0 –
MiFID II
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
17
the MiFID II Technical Note – Introduction to the
MiFID II technical changes for Derivative
Markets, providing the implementation
guidelines of MiFID II requirements on Euronext
Derivative Markets (e.g. short code submission).
Technical Note
The Technical Note provides the implementation
guidelines for MiFID II requirements on Euronext
Derivatives markets. This document should be
read in conjunction with the technical
specifications, conformance script and
conformance guidelines.
MiFID II Technical Note – Introduction
to the MiFID II technical changes – v4.0
– Derivatives
Conformance script and guidelines
Clients are required to complete light
conformance testing for MiFID II changes on
Euronext Derivative Markets, as described in the
conformance script and guidelines.
Conformance Script- CCG-Light MIFID-
II (FIX and Binary)-v1.2
Conformance Guidelines – CCG- Light-
MIFID-II ( FIX and Binary )
Order to Trade Ratio
Euronext will calculate the ratio of unexecuted
orders to transactions per member and per
financial instrument. OTR monitoring will start as
of 3 January 2018.
Order-to-Trade ratio: calculation and
monitoring by Euronext
5.4 COMMODITY DERIVATIVES MEMBERS
Requirement Documentation Available on
Euronext website
Commodity Position Reporting
Commodity Position Reporting is a mandatory application for Clearing Members conducting business in commodity derivative contracts listed on Euronext markets, enabling Euronext to fulfil position reporting obligations under RTS 21.
Trading venues are required to make public a weekly Commitments of Trades (CoT) report, reflecting aggregate positions held by different categories of market participants for the different Commodity Derivatives. In addition, trading venues are required to provide competent authorities with a breakdown of the positions held by all persons on the venue on a daily basis.
In this context, Euronext will deploy a Commodity Position Reporting tool as part of the overall Euronext MiFID II Reporting Services, providing Clearing Members with a direct interface to generate daily commodity position
Technical specifications
Euronext Commodities Position
reporting v1.06
EUA and Production Log-in credentials
https://connect2.euronext.com
Registration Form
Terms and Conditions
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
18
Requirement Documentation Available on
Euronext website
reports to Euronext.
Information from the daily reports will be stored to generate the weekly CoT reports, reflecting positions held on Friday at close of trading. Euronext will publish the weekly CoT reports on its website and submit them to ESMA and competent authorities (AMF, AFM) every Wednesday by 17:30 CET.
To obtain access to the EUA environment,
Member Connectivity Administrators (MCAs) are
required to submit a service access request using
the Saturn Access web form(s) available on the
Euronext Connect. Members will be provided
with SecurID® Card for GUI access by Euronext
Customer Access Service (CAS). To obtain a
Certificate for API access, Members are invited
to submit a request directly via the Saturn
interface using the Digicert link. Euronext will
validate the request and the Member will
receive the Certificate by email. The Member or
appointed service provider shall install the
Certificate and use it to access Saturn via API.
Customers are requested to contact CTSG after
testing to confirm that they were able to
successfully upload files for reporting purposes.
To obtain access to the production environment,
Euronext requires all Members to:
1. become familiar with the Terms and
Conditions governing access to and use
of the Euronext Regulatory Reporting
Solution;
return by 4 December 2017 to Euronext
Membership the Registration Form duly
completed with information relevant to the use
of the Euronext Regulatory Reporting Solution.
Members who have not returned the form are
required to contact Euronext Membership
immediately.
5.5 NON-MIFID MEMBERS
Requirement Documentation Available on
Euronext website
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
19
Requirement Documentation Available on
Euronext website
Non-MiFID Member Reporting
Euronext Members not subject to MiFIR (i.e non-
MiFID firms) are required to provide Euronext
with all the data requested under RTS 22 to
allow Euronext to report transactions executed
on its markets to Competent Authorities on their
behalf.
To obtain access to the EUA environment,
Member Connectivity Administrators (MCAs) are
required to submit a service access request using
the Saturn Access web form(s) available on the
Euronext Connect. Members will be provided
with SecurID® Card for GUI access by Euronext
Customer Access Service (CAS). To obtain a
Certificate for API access, Members are invited
to submit a request directly via the Saturn
interface using the Digicert link. Euronext will
validate the request and the Member will
receive the Certificate by email. The Member or
appointed service provider shall install the
Certificate and use it to access Saturn via API.
Customers are requested to contact CTSG after
testing to confirm that they were able to
successfully upload files for reporting purposes.
To obtain access to the production environment,
Euronext requires all Members to:
1. become familiar with the Terms and
Conditions governing access to and use
of the Euronext Regulatory Reporting
Solution;
2. return by 4 December 2017 to Euronext
Membership the Registration Form duly
completed with information relevant to
the use of the Euronext Regulatory
Reporting Solution. Members who have
not returned the form are required to
contact Euronext Membership
immediately.
Technical specifications
Non-MiFID Member Reporting (ARM)
EUA and Production Log-in credentials
https://connect2.euronext.com
Registration Form
Terms and Conditions
5.6 MARKET MAKERS
Requirement Documentation Available on
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
20
Euronext website
Market Making Agreement
In accordance with MiFID II, Euronext introduces a new Market Making Agreement applicable across all Euronext tradable instruments. Market participants can now register as Market Makers under these new terms and the provisions of this Agreement will apply form 3 January 2018.
Euronext Members pursuing market making
activities are required to review Euronext’s new
General Terms and Conditions and to submit the
completed Registration Form, now available on
Euronext website, before 3 January 2018.
Market Making General Terms and
Conditions
Market Making Operating Terms
Market Making Registration Form
Market Making Schemes
Market Making Schemes will be introduced to
replace certain Liquidity Provider programmes.
These Market Making Schemes will also be
governed by the Market Making General Terms
and Conditions. Specific documentation related
to the Market Making Schemes was published in
November 2017.
Market Making Schemes
5.7 ALGO TRADERS
Requirement Documentation Available on
Euronext website
Conformance and algo declaration policy
To ensure the integrity of the market, Clients are
required to conform applications that interface
with Euronext in order to (i) interact with
Euronext’s matching logic and (ii) process the
data flows coming to and from Euronext, as
described by the external specifications relevant
to each of Euronext’s applications.
To avoid disorderly trading conditions, Euronext
further more requires Euronext requires
Members to have undertaken algorithm (“algo”)
testing for each of their trading algorithms prior
to the deployment of:
a new trading algorithm; or
a material change made to an existing
trading algorithm.
The policies and procedures for such testing are
established in the Conformance Test and Algo
Declaration Policy.
Conformance tests and algo
declaration policy v2.0
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
21
5.8 ISV / ASP
Requirement Documentation Available on
Euronext website
Technical specifications
To secure Euronext’s MiFID II compliance on 3 January 2018, the current UTP matching engines will be updated for both Euronext Cash and Derivatives Markets. Technical changes are detailed in the client specifications.
Please note: Euronext advises members to read
the technical specifications in conjunction with
the MiFID II Implementation Guide –
Implementing MiFID II requirements for
Euronext Cash Markets and the MiFID II
Technical Note – Introduction to the MiFID II
technical changes for Derivative Markets,
providing an overview of the implementation
procedures of MiFID II requirements (e.g. short
code submission).
Cash Markets
Euronext Cash Regulated Markets – CCG
Client Specifications – Binary V4
Interface v2.5.2
Euronext Cash Regulated Markets – CCG
Client Specifications – Binary V5
Interface v1.3.2
Euronext Cash Regulated Markets – CCG
Client Specifications – Binary V6
Interface v1.3.2
Euronext Cash Regulated Markets – CCG
Client Specifications – FIX 4.2 Interface -
v2.5.2
Euronext Cash Regulated Markets – End
of Day Files Specifications – v1.3.2
Derivative Markets
CCG Binary Client Specifications – v3.1.3
– MiFID II
CCG FIX 5.0 Client Specifications – v3.1.3
– MiFID II
AtomX Trader User Guide v 6.3.0 – MiFID
II
Guidelines and technical notes
The Implementation Guide and Technical Note
provides the implementation guidelines for
MiFID II requirements on Euronext Cash and
Derivatives markets respectively. These
documents should be read in conjunction with
the technical specifications, conformance scripts
and conformance guidelines.
Cash
MiFID II Implementation Guide –
Implementing MiFID II requirements for
Euronext Cash Markets v3.0
Derivatives
MiFID II Technical Note – Introduction to
the MiFID II technical changes – v4.0 –
Derivatives
Conformance script and guidelines
Clients are required to complete light
conformance testing for MiFID II changes on
Euronext Derivative Markets, as described in the
conformance script and guidelines.
Cash Conformance Script – CCG- Light- MIFID- II (FIX and Binary)v1.1 Conformance Guidelines – CCG- Light- MIFID- II (FIX and Binary)v1.1
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
22
Requirement Documentation Available on
Euronext website
Derivatives
Conformance Script- CCG-Light MIFID-II
(FIX and Binary)-v1.2
Conformance Guidelines – CCG- Light-
MIFID-II ( FIX and Binary )
Conformance test and algo declaration policy
To ensure the integrity of the market, Clients are
required to conform applications that interface
with Euronext in order to (i) interact with
Euronext’s matching logic and (ii) process the
data flows coming to and from Euronext, as
described by the external specifications relevant
to each of Euronext’s applications.
The policies and procedures for such testing are
established in the Conformance Test and Algo
Declaration Policy.
Conformance tests and algo declaration
policy v2.0
ISV / ASP Agreement
Due to changes necessitated by the new Optiq
project as well as new MiFID II requirements
regarding algo trading, conformance testing and
risk based assessments, Euronext is introducing a
new Service Provider Agreement for ISVs and
ASPs. Service provides will have received a
notification letter and the new Agreement on 11
September 2017.
mailto:euronextmembership@euronext.
com
MiFID II: Migration Guidelines for UTP Cash and Derivatives and reporting services
23
6. SUPPORT
For further information relating to this document as well as the Euronext MiFID II programme, please
contact the dedicated MiFID II Support Desk at [email protected]. Alternatively, please contact your
relationship manager at [email protected] or one of the below customer support teams, available
Monday – Friday from 09:00 to 18:00 CET.
Team Contact details
Customer Technical Support Group
For technical support throughout the testing
period
■ Tel: +33 1 85 148 588
■ Email: [email protected]
Membership
For questions related to the Saturn Reporting
Agreement
■ Email: [email protected]
Customer Access Services
For questions related to access and log-in
credentials to Saturn
■ Tel: +33 1 8514 8589
■ Email: [email protected]