Annex 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. Dates and times shall be reported in UTC.

{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

#

Field identifier

Description

Format Equivalent 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:

‘SUSP’ – the instrument is suspended ‘RMOV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV” – the instrument is available for trading after a suspension, removal or halt

Both

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

‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ Request for Quotes ‘VOIC’ – Voice trading system ‘HYBR’ – Hybrid System ‘OTHR’ – Other

Both

#

Field identifier

Description

Format Equivalent 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

‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘VOIC’ – Voice trading system ‘HYBR’ – Hybrid System ‘OTHR’ – 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

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.

‘ACTV’ – Active System ‘OTAG’ – Outage of the trading system ‘POTG’ – Partial outage of the trading system

Both

#

Field identifier

Description

Format Equivalent 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:

‘SUSP’ – the instrument is suspended ‘RMOV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV’ – the instrument is available for trading after a suspension, removal or halt

Both

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.

‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘HYBR’ – Hybrid System ‘OTHR’ – Other

Both

8

Trading system phase

Type of trading phase of the trading system on which the instrument is traded.

‘UDUC’ – Undefined Auction ‘SOAU’ – Scheduled Opening Auction ‘SCAU’ – Scheduled Closing Auction ‘SIAU’ – Scheduled Intraday Auction ‘UAUC’ – Unscheduled Auction ‘ODAU’ – On Demand Auction (Frequent Batch Auction) ‘COTR’ – Continuous Trading ‘MACT’ – At Market Close Trading ‘OMST’– Out of Main Session Trading ‘TROE’ – Trade Reporting (On Exchange) ‘TROF’ – Trade Reporting (Off Exchange) ‘TRSI’ – Trade Reporting (Systematic Internaliser) ‘OTSP’ – 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 – Yes FALSE – No

Output

#

Field identifier

Description

Format Equivalent 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.

‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘HYBR’ – Hybrid System ‘OTHR’ – 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.

‘ACTV’ – Active System ‘OTAG’ – Outage of the trading system ‘POTG’ – Partial outage of the trading system

Both

#

Field identifier

Description and details to be published

Type of execution or publication venue

Format to be populated as defined in Table 1 Equivalent 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 of transactions

Table 2, Field 21, of Annex II to Delegated Regulation (EU) 2017/583.

Both

#

Field identifier

Description and details to be published

Type of execution or publication venue

Format to be populated as defined in Table 1 Equivalent 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