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London Stock Exchange
TRADEcho MiFID II Deployment Guide
Issue 2.0
19 October 2017
Contents
1.0 Purpose 5
2.0 Document History 6
3.0 References to MiFIR / MiFID II documentation published by London Stock Exchange 6
4.0 Key Dates 7
5.0 Deployment Approach 8
5.1 Initial Connectivity 8 5.2 TRADEcho Phase 1 Deferred Publication Trade Reports 8 5.3 New Segment MICs 8 5.4 TRADEcho Phase 2 Deferred Publication Regime 9 5.5 Interim replacement of Reporting Condition in Guidance to Rule 3040 11 5.6 Cancelling Phase 1 trades 13 5.7 Phase 1 database 13 5.8 Extension of OTC & SI trade reporting period 13 5.9 Move of securities on trading segments ITR, AIM and AIMI to SETSqx 14 5.10 All FTSE 100 securities to be included in segment SET1 14 5.11 Introduction of London Stock Exchange closing prices for trading segment EQS 14
6.0 Summary Table – Deployment Approach 15
Disclaimer
The London Stock Exchange Group has taken reasonable efforts to ensure that the information
contained in this publication is correct at the time of going to press, but shall not be liable for
decisions made in reliance on it. The London Stock Exchange Group will endeavour to provide
notice to customers of changes being made to this document, but this notice cannot be
guaranteed. Therefore, please note that this publication may be updated at any time. The
information contained is therefore for guidance only.
© October 2017.
London Stock Exchange Group plc, 10 Paternoster Square, London EC4M 7LS.
19 October 2017
5
1.0 Purpose
In view of the regulatory changes introduced by the revised Markets in Financial Instruments
Directive (MiFID II) and Regulation (MiFIR), London Stock Exchange will adapt its Rules,
trading systems and exchange services between November 2017 and January 2018, with the
goal of ensuring: (i) an orderly migration to the new versions of its systems, and (ii) a proper
management of the transition between the current and the new regulatory regime.
The objective of this document is to present:
the roadmap of the deployment plan for TRADEcho, London Stock Exchange’s off book
trade reporting system for on Exchange, OTC and SI executions;
an opportunity for member firms and other market participants to provide feedback on
this proposed approach;
It should be read in conjunction with the following documents:
DRAFT MIT201 Guide to the Trading System
DRAFT MiFID II Millennium Exchange & TRADEcho Business Parameters
MiFID II Deployment Guide Proposal
This is the 2nd
issue of this document edition, please see section 2.0 for overview of
amendments and additions. Any feedback by market participants should be made to the
following contacts:
Compliance
o +44 (0) 20 7797 2190
Technical Account Management
o +44 20 7797 3939
Trading Services
o +44 20 7382 7650
19 October 2017
6
We will publish additional information and, if necessary, amendments to this approach in due
course. Time in London is referred to throughout.
A summary table of the approach is provided at the end of this document.
2.0 Document History
Issue Date Description
1.0 15 September 2017 Publication of initial version
2.0 16 October 2017 Slight revision sections 5.2 & 5.4
New sections 5.9, 5.10 & 5.11
Updated sections 4.0 & 6.0
3.0 References to MiFIR / MiFID II documentation published by London Stock Exchange
The following documents are complementary to this communication. Additional documents
related to our adaptation program to MiFIR / MiFID II will be published in due course.
Regulatory documents
Stock Exchange Notice N06/17 was issued on 31 July 2017 and provided the proposed
amended Rules of the London Stock Exchange (“the Rules”) in preparation for MiFIR / MiFID II,
the Notice and the Rules can be found here:
http://www.londonstockexchange.com/traders-and-brokers/rules-regulations/change-and-
updates/stock-exchange-notices/sen-home.htm
Technical documents
For updated technical documents regarding TRADEcho Phase 2 please refer to:
http://www.londonstockexchange.com/products-and-services/technical-library/millennium-
exchange-technical-specifications/millennium-exchange-technical-specifications.htm
For updated technical documentation regarding GTP services, please refer to:
http://www.londonstockexchange.com/products-and-services/millennium-
exchange/documentation/documentation.htm
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4.0 Key Dates
The key dates for the migration plan to the new versions of TRADEcho are as follows:
Current version TRADEcho Phase 1
New version TRADEcho Phase 2
Customer Dress Rehearsals 28 October & 11 November 2017
Technical Go-live 20 November 2017
In order to ensure a proper management of the transition between the current and the new
regulatory regime, TRADEcho Phase 2 will be deployed in production in advance of the legal
entry into force of MiFIR / MiFID II on Wednesday 3 January 2018.
Market participants are informed that:
The deployment of TRADEcho Phase 2 will require a significant update of the structure
of trading and market data protocols, in order to handle the additional information
required by specific MiFIR / MiFID II provisions and related Technical Standards. The
new structure of these protocols will be deployed in production alongside the MIT
Exchange 9.2 changes from the Technical Go-live date, as detailed in the table above;
Market participants will be required to conform to these new versions of trading and
market data protocols in advance of any customer dress rehearsal (as required by
London Stock Exchange’s Conformance Test policy1), and to properly handle new
information required by incoming/outgoing technical messages;
At the Technical Go-live date, TRADEcho will switch to its post MiFIR / MiFID II
structure. However there will be a number of configuration amendments (“Interim
Configuration”) to allow trading participants to continue to meet their MiFID I obligations
until they are replaced by MiFID II; and
It is planned that the 3 January 2018 MiFID II configuration will be in place on TRADEcho CDS until 20 October 2017 and then again from week commencing 20 November 2017. It will also be in place for the Customer Dress Rehearsals. The Interim Configuration will be available on CDS for a 4 week period from 23 October 2017.
1 As available at the following link: http://www.londonstockexchange.com/techlib
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5.0 Deployment Approach
5.1 Initial Connectivity
TRADEcho will enter the Open session from 06:15 on Technical Go-live date to allow
customers an extra hour to establish initial connectivity. Customers should log in using their
default password and change the password on first logon, as all login and trade details from
TRADEcho Phase1 will not carry across.
Whilst trades will also publish from 06:15 on this day, there is no requirement for a member firm
to enter trade reports before 07:15 as normal.
From the day following Technical Go-live date, the TRADEcho Open session will revert to the
normal start time of 07:15.
5.2 TRADEcho Phase 1 Deferred Publication Trade Reports
From Wednesday before Technical Go-live onwards, the maximum scheduled delay will be
reduced so that no TRADEcho Phase 1 trade will be permitted a delay later than the end of
trading on the Friday before Technical Go-live. Consequently, any remaining deferred trades
will publish at 17:15 on Friday before Technical Go-live.
Customers who wish to carry forward deferred publication trade reports from Phase 1 to Phase
2 are required to cancel the relevant trade report themselves from Phase 1 prior to 17:15 on the
Friday before Technical Go live and then re-enter into Phase 2 from 06:15 onwards on
Technical Go-live. Please note on re-entry into Phase 2, the remaining delay applied will be as
per the Interim Configuration (see below).
5.3 New Segment MICs
From Technical Go-live date the London Stock Exchange Regulated Market and MTF business
will have different MIC codes, as follows:
XLON for Regulated Market on Exchange trading
AIMX for AIM MTF on Exchange trading
XLOM for Non-AIM MTF on Exchange trading.
For more details see the Service Announcement issued 11 August 2017:
http://www.londonstockexchange.com/products-and-services/technical-library/service-
announcements/service-announcements.htm
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5.4 TRADEcho Phase 2 Deferred Publication Regime
Unlike Phase 1 which is driven by trading segment, Phase 2 uses the instrument’s “Mifir
Identifier” to determine which delay regime should be applied.
From Technical Go-live date the following “Mifir Identifiers” will adopt the final MiFID II
configuration:
ETFS
CRFT
OTHR
Interim Configuration
SHRS and DPRS will adopt a modified delay regime for the Interim Configuration period. This
will ensure that equity trades continue to get a delay no more generous than permitted under
MiFID 1. It is not possible to recreate the full MiFID 1 delay regime so in some cases trades will
no longer benefit from the full MiFID1 delay during the Interim Configuration period. This is due
to Phase 2 being based on the broad structural approach of the revised regime and no longer
being able to support delays beyond the end of second trading day next after trade.
Phase 2 Interim Configuration delay regime for SHRS & DPRS from Technical Go-live
date for the remainder of 2017 follows on the next page
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Interim Configuration delay regime for SHRS & DPRS from Technical Go-live date for the remainder of 2017
ADT in € Minimum
qualifying size
on transaction
in €
Timing of publication
7,500,000 60 Mins
15,000,000 180 Mins
30,000,000 End of trading Day
N/A End of the next trading Day
N/A End of second trading day next after trade
7,500,000 60 Mins
15,000,000 180 Mins
30,000,000 End of trading Day
100,000,000 End of the next trading Day
250,000,000 End of second trading day next after trade
3,500,000 60 Mins
5,000,000 180 Mins
10,000,000 End of trading Day
25,000,000 End of the next trading Day
50,000,000 End of second trading day next after trade
2,500,000 60 Mins
3,750,000 180 Mins
6,250,000 End of trading Day
12,500,000 End of the next trading Day
25,000,000 End of second trading day next after trade
500,000 60 Mins
750,000 180 Mins
1,250,000 End of trading Day
2,500,000 End of the next trading Day
5,000,000 End of second trading day next after trade
50,000 60 Mins
150,000 180 Mins
250,000 End of trading Day
500,000 End of the next trading Day
1,000,000 End of second trading day next after trade
25,000 60 Mins
75,000 180 Mins
125,000 End of trading Day
250,000 End of the next trading Day
500,000 End of second trading day next after trade
10,000 60 Mins
25,000 180 Mins
45,000 End of trading Day
60,000 End of the next trading Day
80,000 End of second trading day next after trade
10,000 60 Mins
25,000 180 Mins
45,000 End of trading Day
60,000 End of the next trading Day
80,000 End of second trading day next after trade
100,000 - 500,000
50,000 - 100,000
< 50,000
> 100m
50m -100m
25m - 50m
5m - 25m
1m - 5m
500,000 -1m
19 October 2017
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Non-equity Interim Configuration
From Technical Go live date for the rest of 2017 the existing LSE delay regime in place for non-equity will be revised. The delay will be driven by the TAG 25014 “NotionalAmount“ a required field to be entered by the trading participant for non-equity.
Phase 2 Interim configuration delay regime for Non-equity from Technical Go-live date
for the remainder of 2017
“Mifir Identifier”
“Mifir Subclass”
MiFID II functionality being used
Notional Amount Greater than
Interim configuration delay
Artificial reference changes to security required
BOND CRPB SSTI £50,000 17:15 T+1 LIQUID, LIS v. high, SSTI = £50k
BOND OEPB SSTI £50,000 17:15 T+1 LIQUID, LIS v. high, SSTI = £50k
BOND CVDB Non-liquid £0 17:15 T+1 NON-LIQUID
BOND CVTB Non-liquid £0 17:15 T+1 NON-LIQUID
BOND OTHR Non-liquid £0 17:15 T+1 NON-LIQUID
BOND EUSB Large in Scale
£50,000 No Publication LIQUID, SSTI v high LIS = £50,000
ALL OTHER NON-EQUITY NONE N/A NONE LIQUID, LIS & SSTI v. high
5.5 Interim replacement of Reporting Condition in Guidance to Rule 3040
From Technical Go-Live Date the “Reporting Condition” (SP marker) will no longer be
supported. Up to and including Tuesday 2 January 2018 the MiFID II Flags may be used
as follows to replace the use of Reporting Condition as required by the current guidance
of Rule 3040 of the Rules. A Stock Exchange Notice will be issued shortly before
Technical Go-live date to ensure that the Rules are consistent with the approach set out in
this document.
Please note that all Negotiated Trades that are subject to conditions other than the current
market price, the MiFID II flag PRIC must always be used, regardless of any other
additional flag required below.
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Guidance to Rule 3040 Reporting Condition
from Technical Go-live date
MiFID II
flag to be
used until 2
January
2018
(i) where the trade is special cum or ex dividend / coupon / rights
bonus / capital repayment basis
(ii) where the trade is for guaranteed delivery
(iii) where the trade is for non standard settlement
(iv) where the trade is executed in reference to a price that is
calculated over multiple time instances according to a given
benchmark, includes volume-weighted average price or a time-
weighted average price trades
(v) where the trade is part of a portfolio trade as defined within the
Rules
(vi) where the trade is contingent on the purchase, sale, creation or
redemption of a derivative contract or other financial instrument
where all the components of the trade are meant to be executed
as a single lot
(vii) where the trade is executed by a management company as
defined in Article 2(1)(b) of Directive 2009/65/EC or an
alternative investment fund manager as defined in Article 4(1)(b)
of Directive 2011/61/EU which transfers the beneficial ownership
of financial instruments from one collective investment
undertaking to another and where no investment firm is a party
to the transaction
(viii) where the trade is a give-up transaction or a give-in transaction;
(ix) where the trade has as its purpose the transferring of financial
SDIV
No flag
No flag
BENC
TNCP
TNCP
TNCP
NPFT
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Guidance to Rule 3040 Reporting Condition
from Technical Go-live date
MiFID II
flag to be
used until 2
January
2018
instruments as collateral in bilateral transactions or in the context
of a CCP margin or collateral requirements or as part of the
default management process of a CCP
(x) where the trade results in the delivery of financial instruments in
the context of the exercise of convertible bonds, options, covered
warrants or other similar financial derivative
(xi) where the trade is a securities financing transaction
(xii) where the trade is carried out under the rules or procedures of a
trading venue, a CCP or a central securities depository to effect
buy-in of unsettled transactions in accordance with Regulation
(EU) No 909/2014.
NPFT
TNCP
TNCP
TNCP
5.6 Cancelling Phase 1 trades
Customers wishing to cancel a trade after Technical Go-Live date that was originally entered in Phase 1 will need to do so using the new Phase 2 functionality and message formats.
5.7 Phase 1 database
After the Technical Go-Live the TRADEcho WebPortal will no longer contain any Phase 1
trading data. Customers are advised to archive required information prior to this time. Where
necessary London Stock Exchange will, on a best endeavour basis, be able to extract a
customer’s Phase 1 data and provide it on request in EXCEL format.
5.8 Extension of OTC & SI trade reporting period
Currently, the submission of trade reports ceases at 17:15. From Tuesday 2 January 2018,
this will be extended to 19:15 for OTC and SI trade reports. On Exchange trade reporting
submission will continue to end at 17:15, with deferred trades continuing to publish until 19:15.
19 October 2017
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5.9 Move of securities on trading segments ITR, AIM and AIMI to SETSqx
Currently, there are approx. 3,000 non-UKLA, EU regulated Market securities that are classified
by ESMA as non-liquid that are available on segment ITR for trade reporting only. These
securities will be moved to SETSqx without market makers - segment SSX4, sector SXEL -
effective start of trading Monday 11 December 2017. This will provide the ability for member
firms to provide pre trade transparent executions through the auctions, as well as provide
Named Orders at any point of the trading day. Any order book executions will be un-cleared
and bilaterally settled by the trading participants concerned. The draft Millennium and
TRADEcho Business parameters have been amended to reflect the revised regulatory
classification of the above segment /sector combination.
For legacy reasons approx. 380 AIM securities remain on SEAQ in trading segments AIM and
AIMI. These securities will be moved to SETSqx with market makers effective start of trading
Monday 11 December 2017. Securities that support auction execution central counterparty
clearing will move to segment ASQ1 sector AMQ1. Securities that are not available for clearing
will move to segment ASX1 sector AIMP. All 380 securities will continue to have continuous rule
based market maker quotes but the move to SETSqx will also meet the MiFID requirement of
allowing non executed orders to be added to a public order book. The orders will be visible in
the 10 minute period ahead of each auction (5 mins ahead of closing auction). This ties in with
the approach adopted for MiFID1 where the remaining Main Market SEAQ securities were
moved to SETSqx in 2007.
There will also ill be some securities changing trading sectors within segments STMM, SSMM
and SET3. This will follow the introduction of the liquidly flag at security level making
sectorisation on this basis redundant.
Full details of all securities moving as part of this exercise will be confirmed as part of the
December Quarterly Review Service Announcement that will be issued on Friday 1 December
2017.
5.10 All FTSE 100 securities to be included in segment SET1
Trading segment SET0 was introduced to support the current operation of an accelerated tick
regime for approx. 24 FTSE 100 securities. Following the introduction of the revised MiFID II
tick regime these securities will be moved back to SET1 with effect from Tuesday 2 January
2018. SET0 will become reserved for future use.
5.11 Introduction of London Stock Exchange closing prices for trading segment EQS
Currently there are no closing prices disseminated by the European Quoting Service (trading
segment EQS), which supports non-UKLA, EU regulated Market securities that are classified by
ESMA as liquid. Effective from Tuesday 2 January 2018, the mid of the best bid-offer at the
end Mandatory Period of the relevant Trading Cycle will be disseminated as the closing price.
This will support of the Negotiated Trade regime outside standard trading hours. The draft
Millennium and TRADEcho Business Parameters have been amended to reflect this change.
19 October 2017
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6.0 Summary Table – Deployment Approach
On last trading day of TRADEcho Phase 1 (Friday before Technical Go-live)
— Customers who wish to carry forward deferred publication trade reports from Phase 1 to Phase 2
are required to cancel the relevant trade report themselves from Phase 1 prior to 17:15
— All remaining deferred publication trades will publish at 17:15
— Customers are advised to archive any required information from Phase 1 TRADEcho WebPortal
Technical Go-live date of TRADEcho Phase 2
— Also go-live date of MIT Exchange Release 9.2
— Deployment of new version of TRADEcho message protocols
— Deployment of new version of market data protocols (GTP)
— Introduction of revised segment MIC codes for on Exchange business
— Introduction of interim deferred publication regime
— Relevant MiFID II flag to be used to meet existing Rule 3040 requirement instead of the Reporting Condition where required for on Exchange trades
— Customers that carried forward deferred trades from Phase 1 must re-enter them into Phase 2 from 6:15 onwards, any remaining delay will be based on ruling Phase 2 delay regime
11 December 2017
— Move of securities on trading segment s ITR (European Trade Reporting) , AIM & AIMI (AIM on
SEAQ) to SETSqx
— Other sector changes for instruments within segments STMM, SSMM & SET3
19 October 2017
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2 January 2018 (MiFID II technical configuration)
— Update of ‘liquid’ vs. ‘not liquid’, ADT, ADNT and pre-trade LIS according to ESMA’s MiFID II
classifications for 2018
— Full MiFID II deferred publication regime replaces interim configuration
— OTC & SI trade report submission extended until 19:15 each trading day
— Introduction of European Quoting Service closing prices
— Move of approx. 24 SET0 securities to SET1
3 January 2018
— MiFIR / MiFID II enters into force
— Revised Rules of the London Stock Exchange enter force
— Existing Rule 3040 requirement to use Reporting condition revoked. MiFID II flags only to be used as
required by MiFID II
Copyright © October 2017 London Stock Exchange plc.
Registered in England and Wales No. 2075721.
London Stock Exchange plc has used all reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it.
London Stock Exchange and the coat of arms device are registered trade marks of London Stock Exchange plc.
London Stock Exchange
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