Level of accuracy for operators of trading venues and systematic internalisers
Gateway-to-gateway latency time of the trading system
Maximum divergence from UTC
Granularity of the timestamp
1 millisecond
1 millisecond
1 millisecond or better
†1 millisecond
100 microseconds
Increase granularity to 0,1 microseconds or better
Table 2
Level of accuracy for members, participants or users of a trading venue
Type of trading activity
Description
Maximum divergence from UTC
Granularity of the timestamp
Activity using high frequency algorithmic trading technique
High frequency algorithmic trading technique.
100 microseconds
0,1 microseconds or better
Activity on voice trading systems
Voice trading systems as defined in Table 2 of Annex II to Delegated Regulation (EU) 2017/583.
1 second
1 second or better
Activity on request for quote systems where the response requires human intervention or where the system does not allow algorithmic trading
Request for quotes systems as defined in Table 2 of Annex II to Delegated Regulation (EU) 2017/583.
1 second
1 second or better
Activity of concluding negotiated transactions
Negotiated transaction as set out in 2014.
1 second
1 second or better# Table 1 in anx_I
Metrics/features
Minimum requirements
Primary OSI Layers
Latency
Latency shall be maintained below 50 milliseconds for the transmission of data to the CTP for shares and ETFs.Latency shall be maintained below 500 milliseconds for the transmission of data to the CTP for bonds.Latency shall be maintained below 500 milliseconds for the transmission of data to the CTP for derivatives.
Layer 3 (Network)
Throughput
Throughput shall exceed 100 Megabits per second (Mbps).
Layer 1 (Physical), Layer 2 (Data link)
Connection setup time
Round Trip Time (RTT) for connection setup shall be less than 500 milliseconds.
Layer 4 (Transport)
Scalability
The protocol shall support operation in clustered or load-balanced environments.
The protocol shall include error detection mechanisms to ensure accurate identification of data transmission errors.
Layer 2 (Data link), or Layer 4 (Transport), or Layer 7 (Application)
Error correction mechanism
The protocol shall incorporate error correction mechanisms to automatically rectify detected errors.
Layer 2 (Data link), or Layer 4 (Transport), or Layer 7 (Application)
Recovery mechanism
The protocol shall feature recovery mechanisms to swiftly recover from transmission failures or interruptions, ensuring seamless continuity of data transmission operations.
Layer 4 (Transport), or Layer 5 (Session), or Layer 7 (Application)
Table 3 in anx_I
Metrics/features
Minimum requirements
Primary OSI Layers
Secure transport layer
The protocol shall support a secure transport layer to ensure the confidentiality of data during transmission.
Layer 4 (Transport), Layer 7 (Application)
Authentication
The protocol shall support credentials-based or certificate-based authentication mechanisms to verify the identity of communicating parties.
Layer 7 (Application)
Authorisation
The protocol shall implement authorisation mechanisms to control access to specific resources or functionalities based on user roles or permissions.
Layer 7 (Application)
Non-repudiation
The protocol shall incorporate non-repudiation mechanisms to ensure that the originator of a message cannot deny sending it.
Layer 7 (Application)
Table 4 in anx_I
Metrics/features
Minimum requirements
Primary OSI Layers
Open solution
The implementation of the protocols shall adhere to non-proprietary standards.
Layer 7 (Application)
Interoperability
The protocol shall support at least one widely recognised internet standard.
Layer 7 (Application)
Backward compatibility
The protocol shall be capable to work with older versions of itself or previous technologies.
Layer 7 (Application)
Table 1 in anx_II
Symbol
Data Type
Definition
{DATE_TIME_FORMAT}
ISO 8601 date and time format
Date and time in the following format:YYYY-MM-DDThh:mm:ss.ddddddZ.ââYYYYâ is the year;ââMMâ is the month;ââDDâ is the day;ââTâ â means that the letter âTâ shall be usedââhhâ is the hour;ââmmâ is the minute;ââss.ddddddâ is the second and its fraction of a second;ââZâ is UTC time.Dates and times shall be reported in UTC.
â
âYYYYâ is the year;
â
âMMâ is the month;
â
âDDâ is the day;
â
âTâ â means that the letter âTâ shall be used
â
âhhâ is the hour;
â
âmmâ is the minute;
â
âss.ddddddâ is the second and its fraction of a second;
â
âZâ is UTC time.
{ISIN}
12 alphanumerical characters
ISIN code, as defined in ISO 6166
{MIC}
4 alphanumerical characters
Market identifier as defined in ISO 10383
{CURRENCYCODE_3}
3 alphanumerical characters
3-letter currency code, as defined by ISO 4217 currency codes
Table 2 in anx_II
â
âYYYYâ is the year;
Table 3 in anx_II
â
âMMâ is the month;
Table 4 in anx_II
â
âDDâ is the day;
Table 5 in anx_II
â
âTâ â means that the letter âTâ shall be used
Table 6 in anx_II
â
âhhâ is the hour;
Table 7 in anx_II
â
âmmâ is the minute;
Table 8 in anx_II
â
âss.ddddddâ is the second and its fraction of a second;
Table 9 in anx_II
â
âZâ is UTC time.
Table 10 in anx_II
#
Field identifier
Description
FormatEquivalent formats can be used, depending on the syntax used for data transmission
Input/Output data field
1
Instrument identification code
Code used to identify the financial instrument.
{ISIN}
Both
2
Instrument status start date and time
Date and time from which the instrument status is valid.The level of granularity shall be in accordance with the requirements set out in Article 12.
{DATE_TIME_FORMAT}
Both
3
Currency
Major currency in which the instrument is traded.
{CURRENCYCODE_3}
Both
4
Dissemination date and time
Date and time when the instrument status is disseminated by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
{DATE_TIME_FORMAT}
Output
5
Instrument status
Description of the status of the financial instrument.The status of the financial instrument shall be one of the following:(1)suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;(2)removed from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;(3)subject to a trading halt, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU;(4)available for trading after a suspension, removal or halt.
(1)
suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
(1)
suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
(2)
removed from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
(3)
subject to a trading halt, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU;
(4)
available for trading after a suspension, removal or halt.
6
Trading venue
Identification of the trading venue on which the instrument status is valid (segment MIC where available, otherwise operating MIC).The trading venue is a regulated market, an MTF or an OTF.
{MIC}
Both
7
Trading system
Type of trading system on which the instrument is traded
âCLOBâ â Central Limit Order BookâQDTSâ â Quote Driven MarketâPATSâ â Periodic AuctionâRFQTâ Request for QuotesâVOICâ â Voice trading systemâHYBRâ â Hybrid SystemâOTHRâ â Other
Both
Table 11 in anx_II
(1)
suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
Table 12 in anx_II
(2)
removed from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
Table 13 in anx_II
(3)
subject to a trading halt, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU;
Table 14 in anx_II
(4)
available for trading after a suspension, removal or halt.
Table 15 in anx_II
#
Field identifier
Description
FormatEquivalent formats can be used, depending on the syntax used for data transmission
Input/Output data field
1
Trading venue
Identification of the trading venue on which the order matching system status is valid (segment MIC, where available, otherwise operating MIC).The trading venue is a regulated market, an MTF or an OTF.
{MIC}
Both
2
Trading system
Type of trading system on which the system status is provided
âCLOBâ â Central Limit Order BookâQDTSâ â Quote Driven MarketâPATSâ â Periodic AuctionâRFQTâ â Request for QuotesâVOICâ â Voice trading systemâHYBRâ â Hybrid SystemâOTHRâ â Other
Both
3
System status start date and time
Date and time from which the system status is validThe level of granularity shall be in accordance with the requirements set out in Article 12.
{DATE_TIME_FORMAT}
Both
4
Dissemination date and time
Date and time on which the system status is disseminated by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
{DATE_TIME_FORMAT}
Output
5
Trading system status
Status of the trading system on which the instrument is traded.
âACTVâ â Active SystemâOTAGâ â Outage of the trading systemâPOTGâ â Partial outage of the trading system
Both
Table 16 in anx_II
#
Field identifier
Description
FormatEquivalent formats can be used, depending on the syntax used for data transmission
Input/Output data field
1
Instrument identification code
Code used to identify the financial instrument.
{ISIN}
Both
2
Instrument status start date and time
Date and time from which the instrument status is valid.The level of granularity shall be in accordance with the requirements set out in Article 12.
{DATE_TIME_FORMAT}
Both
3
Currency
Major currency in which the instrument trades.
{CURRENCYCODE_3}
Both
4
Dissemination date and time
Date and time on which the regulatory data is disseminated by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
{DATE_TIME_FORMAT}
Output
5
Instrument status
Description of the status of the financial instrument.The status of the financial instrument shall be one of the following:(1)suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;(2)removed from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;(3)subject to a trading halt, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU;(4)available for trading after a suspension, removal or halt.
(1)
suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
(1)
suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
(2)
removed from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
(3)
subject to a trading halt, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU;
(4)
available for trading after a suspension, removal or halt.
6
Trading venue
Identification of the trading venue on which the instrument status is valid (segment MIC where available, otherwise operating MIC).The trading venue is a regulated market or an MTF.
{MIC}
Both
7
Trading system
Type of trading system on which the instrument is traded.
âCLOBâ â Central Limit Order BookâQDTSâ â Quote Driven MarketâPATSâ â Periodic AuctionâRFQTâ â Request for QuotesâHYBRâ â Hybrid SystemâOTHRâ â Other
Both
8
Trading system phase
Type of trading phase of the trading system on which the instrument is traded.
âUDUCâ â Undefined AuctionâSOAUâ â Scheduled Opening AuctionâSCAUâ â Scheduled Closing AuctionâSIAUâ â Scheduled Intraday AuctionâUAUCâ â Unscheduled AuctionâODAUâ â On Demand Auction (Frequent Batch Auction)âCOTRâ â Continuous TradingâMACTâ â At Market Close TradingâOMSTââ Out of Main Session TradingâTROEâ â Trade Reporting (On Exchange)âTROFâ â Trade Reporting (Off Exchange)âTRSIâ â Trade Reporting (Systematic Internaliser)âOTSPâ â Other
Both
9
Most Relevant Market in terms of liquidity
Whether the trading venue in Field 6 is the most relevant market in terms of liquidity.
TRUE â YesFALSE â No
Output
Table 17 in anx_II
(1)
suspended from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
Table 18 in anx_II
(2)
removed from trading, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 32 and 52 of Directive 2014/65/EU;
Table 19 in anx_II
(3)
subject to a trading halt, on the trading venue identified in the field âTrading venueâ, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU;
Table 20 in anx_II
(4)
available for trading after a suspension, removal or halt.
Table 21 in anx_II
#
Field identifier
Description
FormatEquivalent formats can be used, depending on the syntax used for data transmission
Input/Output data field
1
Trading venue
Identification of the trading venue on which the order matching system status is valid (segment MIC where available, otherwise operating MIC).The trading venue is a regulated market or an MTF.
{MIC}
Both
2
Trading system
Type of trading system on which the system status is provided.
âCLOBâ â Central Limit Order BookâQDTSâ â Quote Driven MarketâPATSâ â Periodic AuctionâRFQTâ â Request for QuotesâHYBRâ â Hybrid SystemâOTHRâ â Other
Both
3
System status start date and time
Date and time from which the system status is valid.The level of granularity shall be in accordance with the requirements set out in Article 12.
{DATE_TIME_FORMAT}
Both
4
System status dissemination date and time
Date and time on which the system status is disseminated by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
{DATE_TIME_FORMAT}
Output
5
Trading system status
Status of the trading system.
âACTVâ â Active SystemâOTAGâ â Outage of the trading systemâPOTGâ â Partial outage of the trading system
Both
Table 22 in anx_II
#
Field identifier
Description and details to be published
Type of execution or publication venue
Format to be populated as defined in Table 1Equivalent formats can be used, depending on the syntax used for data transmission
Input/Output data field
1
Trading date and time
Table 2, Field 1, of Annex II to Delegated Regulation (EU) 2017/583.
Both
2
Instrument identification code
Table 2, Field 2, of Annex II to Delegated Regulation (EU) 2017/583.
Both
3
Price
Table 2, Field 3, of Annex II to Delegated Regulation (EU) 2017/583.
Both
4
Missing Price
Table 2, Field 4, of Annex II to Delegated Regulation (EU) 2017/583.
Both
5
Price currency
Table 2, Field 5, of Annex II to Delegated Regulation (EU) 2017/583.
Both
6
Price notation
Table 2, Field 6, of Annex II to Delegated Regulation (EU) 2017/583.
Both
7
Notional amount
Table 2, Field 10, of Annex II to Delegated Regulation (EU) 2017/583.
Both
8
Notional currency
Table 2, Field 11, of Annex II to Delegated Regulation (EU) 2017/583.
Both
9
Venue of execution
Table 2, Field 13, of Annex II to Delegated Regulation (EU) 2017/583.
Both
10
Third-country trading venue of execution
Table 2, Field 14, of Annex II to Delegated Regulation (EU) 2017/583.
Both
11
Date and Time when the data contributor received the data
Date and time when the transaction report was received by an APA.The level of granularity shall be in accordance with the requirements set out in Article 15.
APA
{DATE_TIME_ FORMAT}
Input
12
Date and Time when the data contributor published the transaction
Table 2, Field 15, of Annex II to Delegated Regulation (EU) 2017/583.
Both
13
Venue of publication
Table 2, Field 16, of Annex II to Delegated Regulation (EU) 2017/583.
Both
14
Transaction Identification Code
Table 2, Field 17, of Annex II to Delegated Regulation (EU) 2017/583.
Both
15
Date and Time of reception by the CTP
Date and time when the transaction was received by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
CTP
{DATE_TIME_ FORMAT}
Output
16
Date and Time of publication by the CTP
Date and time when the transaction was published by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
CTP
{DATE_TIME_ FORMAT}
Output
17
Flags
Table 2, Field 19, of Annex II to Delegated Regulation (EU) 2017/583.
Both
18
Suspicious Data Flag
Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues.
CTP
TRUE or FALSE
Output
19
Trading System Type
Table 2, Field 20, of Annex II to Delegated Regulation (EU) 2017/583.
Both
20
Number oftransactions
Table 2, Field 21, of Annex II to Delegated Regulation (EU) 2017/583.
Both
Table 23 in anx_II
#
Field identifier
Description and details to be published
Type of execution or publication venue
Format to be populated as defined in Table 1Equivalent formats can be used, depending on the syntax used for data transmission
Input/ Output data field
1
Trading date and time
Table 3, Field 1, of Annex I to Delegated Regulation (EU) 2017/587.
Both
2
Instrument identification code
Table 3, Field 2, of Annex I to Delegated Regulation (EU) 2017/587.
Both
3
Price
Table 3, Field 3, of Annex I to Delegated Regulation (EU) 2017/587.
Both
4
Missing Price
Table 3, Field 4, of Annex I to Delegated Regulation (EU) 2017/587.
Both
5
Price currency
Table 3, Field 5, of Annex I to Delegated Regulation (EU) 2017/587.
Both
6
Quantity
Table 3, Field 7, of Annex I to Delegated Regulation (EU) 2017/587.
Both
7
Venue of execution
Table 3, Field 8, of Annex I to Delegated Regulation (EU) 2017/587.
Both
8
Third-country trading venue of execution
Table 3, Field 9, of Annex I to Delegated Regulation (EU) 2017/587.
Both
9
Date and Time when the data contributor received the data
Date and time when the transaction report was received by an APA.The level of granularity shall be in accordance with the requirements set out in Article 15.
APA
{DATE_TIME_ FORMAT}
Input
10
Trading system
Table 3, Field 10, of Annex I to Delegated Regulation (EU) 2017/587.
Both
11
Date and Time when the data contributor published the transaction
Table 3, Field 11, of Annex I to Delegated Regulation (EU) 2017/587.
Both
12
Venue of Publication
Table 3, Field 12, of Annex I to Delegated Regulation (EU) 2017/587.
Both
13
Transaction identification code
Table 3, Field 13, of Annex I to Delegated Regulation (EU) 2017/587.
Both
14
Date and Time of reception by the CTP
Date and time when the transaction was received by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
CTP
{DATE_TIME_ FORMAT}
Output
15
Date and Time of publication by the CTP
Date and time when the transaction was published by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
CTP
{DATE_TIME_ FORMAT}
Output
16
Flags
This field shall be populated with the list of all applicable flags set out in Table 4 of Annex I to Delegated Regulation (EU) 2017/587. Where none of the specified circumstances apply, the transaction shall be published without a flag.
RM, MTF, APA
As per Table 4 of Annex I to Delegated Regulation (EU) 2017/587
Both
17
Suspicious Data Flag
Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues.
CTP
TRUE or FALSE
Output
Table 1 in anx_III
Symbol
Data Type
Definition
{DATE_TIME_FORMAT}
ISO 8601 date and time format
Date and time in the following format:YYYY-MM-DDThh:mm:ss.ddddddZ.ââYYYYâ is the year;ââMMâ is the month;ââDDâ is the day;ââTâ â means that the letter âTâ shall be usedââhhâ is the hour;ââmmâ is the minute;ââss.ddddddâ is the second and its fraction of a second;ââZâ is UTC time.Dates and times shall be reported in UTC.
â
âYYYYâ is the year;
â
âMMâ is the month;
â
âDDâ is the day;
â
âTâ â means that the letter âTâ shall be used
â
âhhâ is the hour;
â
âmmâ is the minute;
â
âss.ddddddâ is the second and its fraction of a second;
â
âZâ is UTC time.
{ISIN}
12 alphanumerical characters
ISIN code, as defined in ISO 6166
{MIC}
4 alphanumerical characters
Market identifier as defined in ISO 10383
{DECIMAL-n/m}
Decimal number of up to n digits in total of which up to m digits can be fraction digits
Numerical field for both positive and negative values.âdecimal separator is â.â (full stop);ânegative numbers are prefixed with âââ (minus);Where applicable, values shall be rounded and not truncated.
â
decimal separator is â.â (full stop);
â
negative numbers are prefixed with âââ (minus);
{CURRENCYCODE_3}
3 alphanumerical characters
3-letter currency code, as defined by ISO 4217 currency codes
Table 2 in anx_III
â
âYYYYâ is the year;
Table 3 in anx_III
â
âMMâ is the month;
Table 4 in anx_III
â
âDDâ is the day;
Table 5 in anx_III
â
âTâ â means that the letter âTâ shall be used
Table 6 in anx_III
â
âhhâ is the hour;
Table 7 in anx_III
â
âmmâ is the minute;
Table 8 in anx_III
â
âss.ddddddâ is the second and its fraction of a second;
Table 9 in anx_III
â
âZâ is UTC time.
Table 10 in anx_III
â
decimal separator is â.â (full stop);
Table 11 in anx_III
â
negative numbers are prefixed with âââ (minus);
Table 12 in anx_III
#
Field identifier
Description and details to be published
Format to be populated as defined in Table 1Equivalent formats may be used, depending on the syntax used for data transmission
1
Update date and time
For continuous order book trading systems, Table 1b, Field 1, of Annex I to Delegated Regulation (EU) 2017/587.For periodic auction trading systems, Table 1b, Field 1, of Annex I to Delegated Regulation (EU) 2017/587.For auction trading systems, the date and time at which the price would best satisfy the trading algorithm and any modification of the price (Field 4) or quantity (Field 6) thereafter.The level of granularity shall be in accordance with the requirements set out in Article 12.
2
Instrument identification code
Table 1b, Field 2, of Annex I to Delegated Regulation (EU) 2017/587.
3
Side
Table 1b, Field 3, of Annex I to Delegated Regulation (EU) 2017/587.This field is mandatory only for continuous order book trading systems.
4
Price
For continuous order book trading systems, Table 1b, Field 5, of Annex I to Delegated Regulation (EU) 2017/587 of the best bid and offer.For periodic auction trading systems, Table 1b, Field 5, of Annex I to Delegated Regulation (EU) 2017/587.For auction trading systems, the price at which the auction trading system would best satisfy its trading algorithm.The price shall be provided in the major currency unit.Where price is currently not available but pending (âPNDGâ) or not applicable (âNOAPâ), this field shall not be populated.
5
Price currency
Table 1b, Field 6, of Annex I to Delegated Regulation (EU) 2017/587.
6
Quantity
For continuous order book trading systems, Table 1b, Field 8, of Annex I to Delegated Regulation (EU) 2017/587.For periodic auction trading systems, Table 1b, Field 8, of Annex I to Delegated Regulation (EU) 2017/587.For auction trading systems the aggregated quantity attached to the price that would best satisfying the trading algorithm.
7
Venue
Table 1b, Field 11, of Annex I to Delegated Regulation (EU) 2017/587.
8
Trading system
Table 1b, Field 12, of Annex I to Delegated Regulation (EU) 2017/587.This field shall be populated for central limit order book trading systems and periodic auction trading systems.
9
Trading system phase
Table 1b, Field 13, of Annex I to Delegated Regulation (EU) 2017/587.
10
Publication date and time
Table 1b, Field 14, of Annex I to Delegated Regulation (EU) 2017/587.
Table 13 in anx_III
#
Field identifier
Description
Format as defined in Table 1Equivalent formats can be used, depending on the syntax used for data transmission
1
Entry date and time
Table 2, Field 1, of Annex III to this Regulation applied to the best bids and offers entered into the order book, as reported by the trading venue.The CTP shall publish the most recent amongst the dates and times of the best bids and offers entered into the order book that participate in the EBBO as reported by the data contributors.
{DATE_TIME_FORMAT}
2
Instrument identification code
Table 2, Field 2, of Annex III to this Regulation.
{ISIN}
3
Currency
Major currency unit in which the European best bid and offer prices are expressed. This corresponds to Table 2, Field 5, of Annex III to this Regulation.
{CURRENCYCODE_3}
4
Best bid
European best bid in continuous order books. This corresponds to Table 2, Field 4, of Annex III to this Regulation.
{DECIMAL-18/13}
5
Best bid volume
The aggregated volume attached to the European best bid. This corresponds to Table 2, Field 6, of Annex III to this Regulation.
{DECIMAL-18/17}
6
EBBO timestamp
Date and time of the calculation of the EBBO.The level of granularity shall be in accordance with the requirements set out in Article 12.
{DATE_TIME_FORMAT}
7
Most Relevant Market in terms of liquidity
Most relevant market in terms of liquidity as laid down in Article 4 of Delegated Regulation (EU) 2017/587.
{MIC}
8
Best offer
European best offer in continuous order books. This corresponds to Table 2, Field 4, of Annex III to this Regulation.
{DECIMAL-18/13}
9
Best offer volume
The aggregated volume attached to the European best offer. This corresponds to Table 2, Field 6, of Annex III to this Regulation.
{DECIMAL-18/17}
10
Dissemination date and time
Date and time when the data related to the order was disseminated by the CTP.The level of granularity shall be in accordance with the requirements set out in Article 15.
{DATE_TIME_FORMAT}
11
Publication date and time
Table 2, Field 10, of Annex III to this Regulation.
{DATE_TIME_FORMAT}
Table 14 in anx_III
#
Field identifier
Description
Format as defined in Table 1Equivalent formats can be used, depending on the syntax used for data transmission
1
Indicative date and time
Table 2, Field 1, of Annex III to this Regulation.The CTP shall publish the most recent amongst the dates and times of the prices that participate in the CTPâs indicative auction price as reported by the data contributors.
{DATE_TIME_FORMAT}
2
Instrument identification code
Table 2, Field 2, of Annex III to this Regulation.
{ISIN}
3a
Lowest auction price
Table 2, Field 4, of Annex III to this Regulation applied to the lowest auction price.
{DECIMAL-18/17}
3b
Highest auction price
Table 2, Field 4, of Annex III to this Regulation applied to the highest auction price.
{DECIMAL-18/17}
3c
Volume weighted auction price
Volume weighted auction price. This field corresponds to Table 2, Field 4, of Annex III to this Regulation weighted by Table 2, Field 6, of Annex III to this Regulation.
{DECIMAL-18/17}
4
Currency
Major currency unit in which the auction price is expressed. This field corresponds to Table 2, Field 5, of Annex III to this Regulation.
{CURRENCYCODE_3}
5
Auction volume
Total auction volume, where applicable, across venues. This corresponds to Table 2, Field 6, of Annex III to this Regulation.
{DECIMAL-18/13}
6
Dissemination date and time
Date and time when the data related to the indicative auction price and size was disseminated by the CTP to the subscribers.The level of granularity shall be in accordance with the requirements set out in Article 15.
{DATE_TIME_FORMAT}
7
Publication date and time
Table 2, Field 10, of Annex III to this Regulation.
{DATE_TIME_FORMAT}
8
Most Relevant Market in terms of liquidity
Most relevant market in terms of liquidity as laid down in Article 4 of Delegated Regulation (EU) 2017/587.
{MIC}
Table 15 in anx_III
#
Field identifier
Description
Format as defined in Table 1Equivalent formats can be used, depending on the syntax used for data transmission
1
Indicative date and time
Table 2, Field 1, of Annex III to this Regulation.The CTP shall publish the most recent amongst the dates and times of the prices that participate in the CTPâs indicative auction price as reported by the data contributors.
{DATE_TIME_FORMAT}
2
Instrument identification code
Table 2, Field 2, of Annex III to this Regulation.
{ISIN}
3a
Lowest auction price
Table 2, Field 4, of Annex III to this Regulation applied to the lowest auction price.
{DECIMAL-18/17}
3b
Highest auction price
Table 2, Field 4, of Annex III to this Regulation applied to the highest auction price.
{DECIMAL-18/17}
3c
Volume weighted auction price
Volume weighted auction price. This field corresponds to Table 2, Field 4, of Annex III to this Regulation weighted by Table 2, Field 6, of Annex III to this Regulation.
{DECIMAL-18/17}
4
Currency
Major currency unit in which the auction price is expressed. This field corresponds to Table 2, Field 5, of Annex III to this Regulation.
{CURRENCYCODE_3}
5
Auction volume
Total auction volume, where applicable, across venues. This corresponds to Table 2, Field 6, of Annex III to this Regulation.
{DECIMAL-18/13}
6
Dissemination date and time
Date and time when the data related to the indicative auction price and size was disseminated by the CTP to the subscribers.The level of granularity shall be in accordance with the requirements set out in Article 15.
{DATE_TIME_FORMAT}
7
Publication date and time
Table 2, Field 10, of Annex III to this Regulation.
{DATE_TIME_FORMAT}
8
Most Relevant Market in terms of liquidity
Most relevant market in terms of liquidity as laid down in Article 4 of Delegated Regulation (EU) 2017/587.
{MIC}
Table 1 in anx_IV
Gateway-to-gateway latency time of the trading system
Maximum divergence from UTC
Granularity of the timestamp
>Â 1 millisecond
1 millisecond
1 millisecond or better
â€Â 1 millisecond
100 microseconds
Increase granularity to 0,1 microseconds or better
Table 2 in anx_IV
Type of trading activity
Description
Maximum divergence from UTC
Granularity of the timestamp
Activity using high frequency algorithmic trading technique
High frequency algorithmic trading technique.
100 microseconds
0,1 microseconds or better
Activity on voice trading systems
Voice trading systems as defined in Table 2 of Annex II to Delegated Regulation (EU) 2017/583.
1 second
1 second or better
Activity on request for quote systems where the response requires human intervention or where the system does not allow algorithmic trading
Request for quotes systems as defined in Table 2 of Annex II to Delegated Regulation (EU) 2017/583.
1 second
1 second or better
Activity of concluding negotiated transactions
Negotiated transaction as set out in Article 4(1)(b) of Regulation (EU) No 600/2014.