Plenary Meeting of the MiFID Forum 30th November

Anne PlestedThe MiFID Forum is made up of industry standards bodies and trade associations (SIIA/FISD, FIX Protocol, ISITC Europe and TWIST) affected by MiFID.  It provides an opportunity for open discussion and debate amongst market practitioners from compliance and operational areas on issues affecting the financial markets.

A plenary meeting of the MiFID Forum was held on 30th November where, under the Real-time Market Data Subject Group, Andrew Allwright (MiFID Solutions, Thomson Reuters) and Mark Schaedel (Head of Global Data Products, NYSE Euronext) gave a presentation on the FESE Market Model Typology (MMT) initiative.  The MMT initiative aims to achieve a practical and common solution for standards on post-trade equity data, supporting standardisation of trading flags by providing and maintaining cross-referencing from legacy flags to industry defined standards. Fidessa is involved in the steering committee of the MMT initiative and contributes at a technical level to the detail specification of the trade flag mapping.

On 29th Nov ember the MMT was presented to ESMA seeking to gain ESMA/EC recognition and thus promote investment in implementing the post-trade standards by vendors, exchanges and the trading community.

The scope is initially equities but it is recognised that the MMT will need to include derivatives going forward.

Some interesting points/questions from the floor:

  • Data standards would constrict innovation
  • No money can be made from being an APA – aside from perhaps BOAT and the exchanges, and opportunities that will come with derivatives post-trade data, who else would want to become an APA?
  • ESMA needs to tackle exchange data costs at source to arrive at ‘reasonable cost’ consolidated data
  • The buy-side’s preference was for one consolidated tape provider NOT multiple competing providers. Thomson stated publicly that they lobbied for multiple competing providers.
  • Trader id/algo id are now required on transaction reports under MiFID II. Execution algos should not need ids (VWAP, TWAP) but decision making algos do need to be identified on transaction reports.
  • Post-MiFID II there will be loads more venues and loads more market data to manage
  • EU should look to the US for the real changes coming our way
Comments
2 Responses to “Plenary Meeting of the MiFID Forum 30th November”
  1. Colm Furlong says:

    “Trader id/algo id are now required on transaction reports under MiFID II. Execution algos should not need ids (VWAP, TWAP) but decision making algos do need to be identified on transaction reports.”

    3 points:
    -I am pretty sure all trading algos make decisions or at the very least produce results that result in trading decisions? If they do not, what is their purpose?

    -VWAP and TWAP are not what we categorize as execution algos.

    -Bearing in mind each transaction could be based on the decisions of multiple algorithms so that could be multiple IDs identifying every algorithm that made a decision that contributed to the resultant trade.

Leave A Comment

Copyright © 2017 Fidessa group plc. All rights reserved.

The information contained within this website is provided for informational purposes only. Fidessa will use reasonable care to ensure that information is accurate at the time it is made available, and for the duration that it remains on the site. The information may be changed by Fidessa at any time without notice. We also reserve the right to close the website at any time. No representation or warranty, expressed or implied, is given on behalf of Fidessa or any of its respective directors, employees, agents, or advisers as to the accuracy or completeness of the information or opinions contained herein or its suitability for any purpose and, save in the case of fraud, all liability for direct, indirect, special, consequential or other loss or damages of whatever kind that may arise from use of the website is hereby excluded to the fullest extent permitted by law. Any decisions you make based on the information in this website are your sole responsibility and information on the website should not be relied upon in connection with any investment decision.

The copyright of this website belongs to Fidessa. All other intellectual property rights are reserved.

Reproduction or redistribution of this information is prohibited except with written permission from Fidessa.