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MiFID Joint Working Group
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MiFID Data Sources
The FISD’s Real-time Market Data Subject Group (RTMDSG) has
identified the following organisations as likely sources of real-time OTC
market transparency information under the rules of MiFID. For each listed
organisation, the RTMDSG has compiled product and contact information that
has been contributed by RTMDSG members or is available through public
sources. Wherever possible, the FISD and the RTMDSG have attempted to verify
the attached information with the individual data sources. While the
information that is provided is believed to be correct, the RTMDSG and FISD
take no responsibility for its accuracy.
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Chi-X |
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Deutsche Boerse |
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Equiduct |
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GL Trade |
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London Stock Exchange |
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OMX Nordic Exchange |
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PLUS Markets |
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Project BOAT |
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Reuters |
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Wiener Boerse AG |
The RTMDSG is part of the MiFID Joint Working Group, a collaboration
founded by FIX Protocol Ltd (FPL), ISITC Europe, the Reference Data User
Group (RDUG) and FISD/SIIA. Members of these organizations have worked
together voluntarily since April 2005 to address the common MiFID-related
issues identified by each of the collaboration’s six Subject Groups. Each
Subject Group is led by one of the organizations, with participation open to
members of the other affiliated organizations.
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Data Source |
Chi-X |
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Web site:
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http://www.chi-x.com/index2.jsp?page=marketdata
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Contact(s)
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Description: |
The Itch Feed (copyright of NASDAQ) and the SoupTCP (copyright of
NASDAQ) are proprietary real-time data feed and connectivity protocols
that provide data about orders entered into and executed on the Chi-X.
The data service utilizes a proprietary protocol specifically (the Itch
port is “listen” only) designed for the high-speed dissemination of
real-time order book information. Other benefits are:
The real-time data feed is available either as a direct
feed or via third party data vendors such as Reuters or Bloomberg in a
standardised format. The Itch Feed (copyright of NASDAQ) is the vendor
level data feed. It disseminates information about orders and executions
on Chi-X in real time.
Soup/ TCP market data connectivity
specification for direct point to point connectivity
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Data Source |
Deutsche Boerse |
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Web site:
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mda.mifid@deutsche-boerse.com
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Contact(s)
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Christiane Baumgarten
+49-(0) 69-2 11-1 85 69
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Description: |
Post-trade
transparency: Deutsche Börse AG
will offer the MiFID OTC Post-Trade Transparency Service. This service
covers off-exchange transactions in shares admitted to trading on a
regulated market within the EEA. The service encompasses i.e. data
quality assurance, optional fully-automated block-trade delay of
transactions large in size, flexible handling of the execution venue ID
and reporting for third parties. Market Data & Analytics pools trade
data from all investment firms into one information product and
disseminates it in real time to connected vendors and end clients.
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Data Source |
Equiduct |
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Web site
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www.equiduct.eu
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Contact(s) |
info@equiduct.eu
London:
70 St Mary Axe
London
EC3A 8BD
+44 (0)20 3102 4080
Belgium
De Jonge
St Jacob
Lei 19/11
B-3000 Leuven
Belgium
+32 (0)16 284110 |
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Description |
Equiduct will distribute pre- and post-trade information
relating to its PartnerEx and Hybrid book transactions.
Equiduct will offer
access to a complete set of features ensuring that all executed orders
are MiFID compliant, including:
Pre-Trade Display: Equiduct will enable investment firms to make MiFID compliant,
continuous information available regarding number, size and price of
orders. Equiduct will have links to international market data vendors
for the real-time dissemination of order and quote details. This
facility will also be made available to systematic internalisers that do
not participate in the Hybrid Book.
Post-Trade Display: Equiduct will enable all firms to publish trade data in compliance with
MiFID post-trade transparency regulations. Equiduct will have links to
international market data vendors for the real-time dissemination of
trade details. Depending on the size of the transaction, participants
will be able to benefit from optional deferred post-trade publication.
Record Keeping: Equiduct will automatically archive a MiFID compliant record of all
orders, quotes and trades on behalf of our Participants.
Trade Reporting Facility: Equiduct will provide facilities to allow Participants to report trades
which occur outside of its trading system, in order to ensure compliance
with the post-trade transparency requirements under MIFID. Equiduct
expects to be one of the lowest cost providers of this service.
In addition, Equiduct will be a data provider for the
Equiduct VBBO (Consolidated Tape). Equiduct VBBO will be
produced and distributed as a real-time feed for around 600 European
equities that Equiduct has estimated will initially be classified as
‘liquid instruments’ by CESR (the official list is expected to be
released in July 2007) plus around 700 other equities that are currently
viewed as liquid as a result of their inclusion in national indices.
Equiduct VBBO is a proprietary volume weighted average best
bid and offer price derived from a virtual consolidated order book
comprising visible pre-trade information from significant “Relevant
Markets”. The Relevant Markets will be defined in the Equiduct Rule
Book and are expected to comprise those
Regulated Markets (RM),
Multilateral Trading Facilities (MTF) and Systematic Internalisers (SI)
that contribute in a meaningful manner to the pan-European price
formation process of a particular security through visible, accessible
and firm prices that are distributed in a manner that allows for very
consolidation.
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Data Source |
GL Trade |
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Web site
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www.gltrade.com
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Contact(s) |
Franck Lambert
franck.lambert@gltrade.com
Laetitia Visconti
Laetitia.visconti@gltrade.com
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Description |
Three
services make-up GL TRADE offer for market data aggregation under MiFID
Data
Collection & Broadcasting Services: Any institution operating an
internal order matching system, multilateral trading facility (MTF) or
regulated market can call on the services of GL TRADE, which will
collect data and be responsible for its distribution via GL NET or other
networks. This service will not only enable such institutions (Data
Producers) to meet their transparency obligations by publishing prices
within the framework of MiFID, but will also facilitate access to their
liquidity.
Data
Producers seeking to use GL TRADE for publishing their pre & post trade
transparency data will be allowed to do so using API from GL TRADE or
alternatively using FIX or FAST protocols. For fast and easy set-up, GL
TRADE will support physical interface at any of the 30 Point of Presence
of GL TRADE broadcasting infrastructure as well as via Internet, 3rd
party network providers (BT Radianz) or FTP connection.
For
increased convenience, data consumers who will be using GL TRADE
Aggregated Data Feed will also have the possibility to customize their
aggregation settings and upload on their GL TRADE Data infrastructure
any 3rd party reference data to replace/complement the GL
TRADE one.
Data Recording Compliance Services: Along the requirements of the
MiFID framework, GL TRADE offers five years archiving of pre & post
trade transparency data. For increase customer convenience, data records
are accessible via a GUI available in ASP whereby Data Consumers and
Data Producers can access data records for transaction cost research as
well as regulatory audit.
Data Distribution Services: Aggregation of different sources of
liquidity is carried out in real time, to allow the immediate
distribution of pre & post trade transparency data into a full and
consolidated market depth. GL TRADE will include this service in its GL
WINWAY screens for buy-side users and will also make it available to the
financial community in the form of low latency real-time data feeds in
GL, FIX or FAST formats.
In
order to support multiple listing, GL TRADE has introduced an ISIN-based
reference data for stock instruments. As featured in the screen capture
below, a virtual parent instrument is created to which child instruments
are attached. The parent instrument x.AGR displays the European Best Bid
and Offer while each child instrument displays the quotes of its
liquidity pools. |
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Data Source |
London Stock Exchange |
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Web site
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http://www.londonstockexchange.com/mifid
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Contact |
Danielle Ballardie
dballardie@londonstockexchange.com
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Description |
Pre-trade transparency: Firms undertaking internalisation in UK and Dutch liquid
securities on the Exchange’s SETS and EUROSETS systems will be able to meet
MiFID requirements on pre trade transparency by using a new market making
function on the order book to advertise their prices in the relevant securities.
For
other liquid securities a new European Quoting Service will provide a facility
for firms to advertise the prices at which they are prepared to trade.
For
small cap and fledgling stocks not currently traded on order book systems, the
new SETSqx service will enable firms to meet the MiFID requirement to display
unfulfilled client limit orders by providing a facility to submit limit orders
executable through periodic auctions, alongside non-electronically executable
market maker quotes.
Post-trade Transparency: The Exchange will continue to offer its established UK
reporting service, and will introduce a European Trade Reporting service for
both on Exchange and OTC trades in all EU securities.
The
Exchange is also consulting on offering OTC reporting to non-members |
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Data Source |
OMX Nordic Exchange |
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Web site
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www.omxgroup.com
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Contact |
mds@omxgroup.com
+ 45 33 93 33 66
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Description |
The OMX Nordic Exchange will
introduce an OTC Publication Service for both members and non-members on
November 1, 2007. It will be possible to report trades for publication in
both OMX listed and non-OMX listed shares executed outside the OMX Nordic
Exchange. The service will be a complete transparency publication service,
i.e. it will cover the full 10 000 pan European shares. In Denmark and
Iceland, the OTC Publication Service will also be available for our Fixed
Income markets.
OMX will provide Market Data
products containing publications of all trades in both OMX listed and non-OMX
listed instruments. The data will be made available from the Targin system,
and will utilize new messages which will be introduced in Targin 1.7 on
October 22, 2007.
The data will be offered as a
separate product (free of charge for a minimum of 6 months) but for
customers subscribing to the Nordic Equity Level 2 Plus product, the
information will be included by default at no additional cost.
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Data Source |
PLUS Markets Group |
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Web site
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http://www.plusmarketsgroup.com
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Contact
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Stuart Rutherford, Head of Trading Services -stuart.rutherford@plusmarketsgroup.com
Anita
Harar, Head of Business Technology –
anita.harar@plusmarketsgroup.com
Switchboard telephone: +44 (0)20 7553 2000
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Description
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PLUS is a new stock exchange in London, which has already been
providing competition and choice for trading in UK less liquid
securities since 2005.
As a
Recognised Investment Exchange in London and a Market Operator under
MiFID, PLUS is extending into liquid securities from November 2007,
supported by new trading and market surveillance technology from OMX.
Coverage is to include UK and EU liquid shares, offering some 7,500
securities to trade on the PLUS market, which offers a deep pool of
liquidity by supporting small order flow at low transaction cost.
Trading
and market data services on PLUS include:
- full stock coverage via
on-exchange, multi-currency quotation and trade reporting facilities
in UK and EU securities;
- a suite of off-exchange
transparency services, including quotation facilities for systematic
internalisers; and
- real-time surveillance
delivered to Recognised Investment Exchange and Trade Data Monitor
standards, ensuring the highest level of data integrity.
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Data Source |
Project BOAT |
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Web site
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www.boat-project.com |
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Contact |
Donna Bales
Markit Group
2 More London Riverside, Level 5
LONDON SE1 2AP
+1 44 207 260 2045
donna.bales@markit.com
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Description |
BOAT was initiated to
help reduce market participants’ costs by providing the pre-and post-
trade reporting facilities required of investments firms as a result of
the European Markets in Financial Instruments Directive (“MiFID) which
will come into force on 1st November 2007. BOAT will provide
a robust, real-time platform that will enable European equity dealers to
meet their regulatory requirements
BOAT will offer the following:
A pre- and post-trade
reporting venue to meet MiFID requirements
Monitoring and validation
of contributed data
Storage of all quote and
post-trade data for the regulatory period
Distribution of trade data
to banks and MDV’s
The BOAT service will be managed from
the Markit’s London offices and will be supported by Markit and Cinnober.
The data centres will be located in
London with connectivity being provided by BT Radianz and Colt; APIs are
based upon the industry standard FIX protocol.
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Data Source |
Reuters Ltd. |
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Web site
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http://www.reuters.com/mifid
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Contact
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Alex Wolcough
alex.wolcough@reuters.com |
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Description |
Reuters provides Pre and Post Trade Transparency information through the
Reuters Data Feed and Reuters 3000 Xtra and Reuters Trader Desktop
products using a new .r Reuters Information Code (RIC) structure.
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Data Source |
Weiner Borse |
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Web site
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www.wienerborse.at
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Contact
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information.products@wienerborse.at |
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Description |
From November 1, 2007 WBAG will offer a
real-time publishing service for both member and non-members to fulfil
their MiFID obligations that is called Transparency Trade Reporting (TTR).
This service will cover the OTC trades of shares and bonds that are WBAG
listed and non-WBAG listed. For any further information about the TTR
service please contact Sabine Haas, Sabina.haas@wienerborse.at, Tel +43
1 531 65 152) who is the project leader of TTR.Information Products
will provide a separate market data product containing these OTC data to
all interested data vendors. The data will be available via our data
feed ADH and is covered under the Market Data Agreement. We will also
publish the data on our website.
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