Regulatory Compliance - MiFID
Address the challenges of MiFID
There continues to be much debate about a consolidated tape for European Equities. In the interest of gaining clarity over the exact nature of market concerns Thomson Reuters has consulted with representatives of over 20 buy-side firms to understand their issues and how they might be addressed.
Our white paper identifies 14 concrete proposals for improving the compilation of consolidated data and a call to action on parties to find solutions.
Thomson Reuters has already introduced some of these proposals, and we have plans to implement others. Our intention is that these proposals should be considered as an input to establishing common standards for adoption across information vendors and the firms they serve.
This white paper covers the following:
- The buy side considers the cumulative cost of fees charged by exchanges, and trade reporting services is a significant barrier to adoption of a consolidated tape, and a detriment to overall transparency. We suggest there should be a more modular approach to data pricing that is underpinned by regulatory intervention.
- The coverage and quality controls around MiFID trade publication need to be formalized and enforced to instil market confidence and trust. We make several suggestions to improve trade publication. To be successful, the institutional buy-side, brokers and trade reporting services will need to reach agreement on standards, and these rules will need to be codified through MiFID 2 regulation.
- Best execution monitoring has been hampered by shortcomings in the provision of the source data contributing to a consolidated tape and by inconsistencies of approach to benchmark calculation between information vendors. In this document, we openly share our TCA formulas and methodology. We now call upon other vendors to join in defining industry standards for data consolidation and TCA measurement.
Through continued dialogue, industry collaboration and regulatory support, all of these issues are solvable.
MiFID Services include:
- Thomson Reuters Global TCA - Uses a comprehensive tick database to calculate cross venue benchmarks relevant to a firm’s individual orders and executions.
- Equity Market Share Reporter - Provides an overview of the participation in a single stock or groups of stocks, of competing exchanges and Multilateral Trading Facilities (MTFs), including dark pools, and puts these into context with the OTC reported trades.
- Thomson Reuters Tick History - Provides underlying market data on a hosted basis for proving best execution.
- The Thomson Reuters '.xbo' RIC code delivers real time best bid & offer and all published trades from all order book driven trading venues.
- The Thomson Reuters '.xt' RIC code delivers all published trades from all trading and reporting venues on a streaming delayed basis.
- The Consolidated Order Book model in Reuters 3000 Xtra delivers a customized view of top of book and depth of book pricing across trading venues of the users choice.
- Thomson Reuters Enterprise Platform for Velocity Analytics gives you on-site ownership of every tick of real-time data flowing through your organization.
Thomson Reuters has a number of solutions for market data consolidation on the desktop and for both pre and post trade analysis. More information on these is provided below and on the other tabs of this site.
We would like to better tailor these to the needs of clients. Therefore, through October we will be consulting with market participants to clarify their consolidation needs and workflow with the aim of establishing a set of standards to which we will ultimately tailor our solutions. It is our intention to publish these standards so that they can be shared across data and solution vendors. We would welcome as wide an input as possible. To participate please email us at email@example.com .
Broad Data Coverage
Thomson Reuters publishes the data from all the Exchanges, new MTFs & all the OTC reporting venues, through its desktop and feeds. This data has been delivered at the best price Reuters can obtain from the contributing venues.
XBO RIC European BBO
The .xbo delivers a European BBO which displays the best executable price and venue within the MiFID Zone. It also provides a display of the last 5 orderbook trades from European executable trading venues. The attributes of .xbo are:
- Real Time European Consolidated Best Bid & Offer
- Time & Sales
- 9 regional segments to minimise data costs
- Real-Time Calculated VWAP
- RIC Syntax = [XXX][CUR].xbo e.g. VODGBP.xbo
- Available via 3000xtra, Datafeeds, Reuters Trader & RWM
- Graphing provided through TS1
- EOD on DataScope
- Universe Major European Index Constituents
XT RIC MiFID Consolidated Trade Tape
The .xt delivers a consolidated view of all trades reported for major MiFID zone European equities. The source venues include executable trading venues and Over-The-Counter trade reporting venues. The xt is a streaming delayed data service which displays delayed tick by tick trades, thereby eliminating exchange fee liability. The attributes of .xt RICs are:
- Consolidated European Trade Tape
- Streaming Delayed Tick By Tick Trade Data
- Includes Exchanges, MTFs and Trade
- Publishing Venues
- RIC Syntax = [/][XXX][CUR].xt e.g. /VODGBP.xt
- Available on 3000 xtra, Datafeeds, Reuters Trader & RWM
- Universe 1500 Most Liquid European Equities
Consolidated Order Book
Ordering the Services
Clients wishing to order this data should contact their local Thomson Reuters order management team.
Order Contact Details are available on:
Further information can be found on the customerzone page:
Market Share ReportsDownload monthly reports on a per market and index basis.
- ESMA MiFID databases
- European Commission
- European Securities and Markets Authority
- HM Treasury
- London Stock Exchange
- Association of Private Client Investment Managers
- Equity Market Share Reporter
- Reuters 3000 Xtra
- Thomson Reuters Enterprise Platform for Velocity Analytics
- Thomson Reuters Global TCA
- Thomson Reuters Tick History