ANNEX III
Pre-trade data to be transmitted to and disseminated by the CTP for shares and ETFs according to Articles 6 and 8
Table 1
Symbols used in Tables 2, 3 and 4
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Symbol |
Data Type |
Definition |
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{DATE_TIME_FORMAT} |
ISO 8601 date and time format |
Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ.
Dates and times shall be reported in UTC. |
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{ISIN} |
12 alphanumerical characters |
ISIN code, as defined in ISO 6166 |
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{MIC} |
4 alphanumerical characters |
Market identifier as defined in ISO 10383 |
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{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.
Where applicable, values shall be rounded and not truncated. |
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{CURRENCYCODE_3} |
3 alphanumerical characters |
3-letter currency code, as defined by ISO 4217 currency codes |
Table 2
Pre-trade data to be transmitted to the CTP for shares and ETFs
|
# |
Field identifier |
Description and details to be published |
Format to be populated as defined in Table 1 Equivalent 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. |
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|
2 |
Instrument identification code |
Table 1b, Field 2, of Annex I to Delegated Regulation (EU) 2017/587. |
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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. |
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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 (‘PNDG’) or not applicable (‘NOAP’), this field shall not be populated. |
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5 |
Price currency |
Table 1b, Field 6, of Annex I to Delegated Regulation (EU) 2017/587. |
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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. |
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7 |
Venue |
Table 1b, Field 11, of Annex I to Delegated Regulation (EU) 2017/587. |
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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. |
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9 |
Trading system phase |
Table 1b, Field 13, of Annex I to Delegated Regulation (EU) 2017/587. |
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10 |
Publication date and time |
Table 1b, Field 14, of Annex I to Delegated Regulation (EU) 2017/587. |
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Table 3
Pre-trade core market data to be disseminated by the CTP for shares and ETFs – EBBO
|
# |
Field identifier |
Description |
Format as defined in Table 1 Equivalent 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} |
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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} |
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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} |
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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} |
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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} |
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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} |
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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} |
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11 |
Publication date and time |
Table 2, Field 10, of Annex III to this Regulation. |
{DATE_TIME_FORMAT} |
Table 4
Pre-trade core market data to be disseminated by the CTP for shares and ETFs – indicative auction price (except when trading phase is set to ‘ODAU’)
|
# |
Field identifier |
Description |
Format as defined in Table 1 Equivalent 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 CTP’s 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} |
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3b |
Highest auction price |
Table 2, Field 4, of Annex III to this Regulation applied to the highest auction price. |
{DECIMAL-18/17} |
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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} |
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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} |
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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} |
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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} |
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7 |
Publication date and time |
Table 2, Field 10, of Annex III to this Regulation. |
{DATE_TIME_FORMAT} |
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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 5
Pre-trade core market data to be disseminated by the CTP for shares and ETFs – indicative auction price when trading phase is set to ‘ODAU’
|
# |
Field identifier |
Description |
Format as defined in Table 1 Equivalent 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 CTP’s 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} |
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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} |
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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} |