MiFID II/MiFIR order flagging requirements: Short Code and Algo ID solution enhancement 

1.    Introduction

With T7 Release 13.0 on 18 November 2024, the new Short Code and Algo ID solution will be introduced. The new solution encompasses First-In-First-Out (FIFO) principle and intraday processing for which adapted upload files and T7 XML Member Reports (TR160-TR163) are provided. The Short Code and Algo ID upload GUI (Graphical User Interface) as well as the Common Upload Engine (CUE) will be enhanced for client convenience. The new solution facilitates a correction functionality for historical (older than the past trading day) Short Code data submissions of Trading Participants to the trading venue. 

2.    Required action

The new FIFO principle and intraday processing require new upload files for Trading Participant uploads and adapted T7 XML Member Reports (TR160-TR163), which are provided by the trading venue. Trading Participants are required to adhere to these changes and will be provided with sample upload files in due course. The respective T7 XML Member Report changes will be provided with the regular T7 Release publications.
 
Intraday, T7 XML Member Reports will be provided in the Short Code and Algo ID upload GUI and on the Common Report Engine (CRE). The report generation starts at 10:00, 14:00 and 18:00 CE(S)T and will contain the timestamp in the file name. Hence, Trading Participants uploading Short Code and Algo ID files during the day to solve missing registrations can examine their results in the respective T7 XML Reports by downloading these from the Short Code and Algo ID upload GUI and CRE.

On the CUE, Short Code and AlgoID files must be uploaded using the calendar date rather than the business date in the file name and the CUE will add a timestamp to the file name automatically. The prevailing file rejection in case of erroneous records will be disabled. The files will be transferred to the data warehouse for processing and results will be provided as usual in the T7 XML Member Reports (TR160-TR163). However, CUE log-files with the pre-validation results will still be provided to Trading Participants at the time of the upload. A file reject on CUE will only take place for structural and naming convention errors.
 
Trading Participants must consider the new T7 XML Member Report TR169 to fulfil the requirement of providing corrections of incurred final missing Short Codes on an ongoing basis.
 
Trading Participants must adhere to all changes starting with T7 Release 13.0 on 18 November 2024.

In addition, Trading Participants must consider the new T7 XML Member Reports TR170 and TR171 to fulfil the requirement of providing corrections of incurred historical final missing Short Codes and corrections of historical Short Code registrations with incorrect Long Codes. A time-limited correction phase will take place in 2025.

Related documentation will be provided in due course. Please find more details on the new Short Code and Algo ID solution available on the Eurex website www.eurex.com under the following path: 

Rules & Regs > Regulations > MiFID II/MiFIR > Client & Member Reference Data

Please find more details about the T7 XML Member Reports by the end of August 2024 available on the Eurex website www.eurex.com under the following path:
 
Support > Initiatives & Releases > T7 Release 13.0 > Reports

or contact your Technical Key Account Manager (TKAM).

3.    Details of the initiative

The new Short Code and Algo ID solution encompasses several changes and aims to provide Trading Participants with more frequent feedback to the data submission process to support the adherence with the exchange rules. It will assist in the resolution of missing Short Codes and Algo IDs and optimizes the handling of upload errors. Overall, it facilitates the comprehensive registration and maintenance process of Short Codes and Algo IDs.
 
Processing logic and intraday report provision

The data processing will be adapted from Last-in-first-out (LIFO) principle to the FIFO principle to allow for orderly intraday processing of Trading Participant´s uploads. The intraday processing enables Trading Participants to ensure that data submissions are processed during the day and feedback about the validation results is provided back in the Reports TR160-TR163 in due course. The intraday processing is documented in three additional reports per day available on CRE and in the Short Code and AlgoID upload GUI. The intraday report generation process starts at 10 AM, 2 PM and 6 PM CE(S)T and is conducted in addition to the end of day batch.
 
The T7 XML Member Reports (TR160-TR163) will be presented in a new structure, with additional error codes and new report fields. Intraday processed records are documented by the time of reception, i.e. processing according to the FIFO principle. For erroneous uploads, Trading Participants can take immediate action and ensure that the data is successfully accepted to fulfil the data submission obligation within the deadline. In case of an upload error for a record, the Trading Participant can submit an updated data record until the correct Short Code (or Algo ID) registration or modification is processed successfully. For these cases, i.e. numerous submissions for one Short Code (or Algo ID) on a trading day, each record is processed and documented in the respective T7 XML Member Report TR160 or TR161 (TR162 and TR163). During the end of day batch, the on the trading day last received and successfully validated Short Code is legally binding for that trading day and marked as such. In case no modification of a Short Code (Algo ID) registration was successfully submitted, the prevailing combination is legally binding for that trading day.

For intraday submissions the general principle holds that the initial registration of a Short Code must be submitted with “Status Indicator = N (new registration)” and subsequent submissions for that Short Code must be submitted with “Status Indicator = M (modification)”.
 
Please note that for the deletion of Short Codes the “Valid From” must still be the next business date (t+1). However, it will be effective on that date, i.e. a new registration can follow for t+1.
 
Upload files

In addition, the upload files of Short Code and Algo ID are adapted. The Algo ID upload file will have the field “Upload Date” removed and the fields “ParticipantID” and “MIC” added. The Short Code upload file will have a new field “Valid To” and a new value “C – Correction” is added to the field “Status Indicator”. 

Ongoing and historical corrections

The Short Code upload file changes refer to the new correction functionality, which will be introduced. For incurred final missings, which were identified in T7 XML Report TR166, the Trading Participants are required to deliver those Short Code registrations in due course. The total overview of those final missings will be provided daily in the new T7 XML Report TR169. The report will consider all final missings incurred since T7 Release 13.0 on 18 November 2024 and is structured in two parts: Firstly, the overview of incurred final missings, secondly, with the potential uploads of corrected records by the Trading Participant on the trading day. Successfully corrected records will be removed from the report’s overview part.
 
There are two new T7 XML Member Reports TR170 and TR171. Those reports will be introduced to perform the task of historical Short Code correction, which is planned for 2025. Trading Participants are required to deliver incurred final missing Short Codes and to correct incorrect Short Code registrations, i.e. which have an incorrect Long Code. The historical correction scope encompasses the past five years from the start of the correction exercise in 2025. More detailed information will follow.

The Report TR170 will provide Trading Participants with their individual correction scope of historical Short Code final missings. The Report TR171 will provide Trading Participants with their individual correction scope of historical Short Code registrations, which have an incorrect Long Code. For the upload of these corrections, the regular upload file will be used. There will be a new CUE service (also available in the Short Code and Algo ID upload GUI) for the upload of the Short Code registrations, which have an incorrect Long Code. Valid corrections are covered in the new TR169 Report and negative validation results will be covered in the TR160 Report.

Enhancements to CUE and the Short Code and Algo ID upload GUI
 
CUE will be enhanced with respect to the file name and processing. Currently, for uploads on weekends and non-trading days, Trading Participants must use the next trading date in the file name. This will be changed, and Trading Participants shall always use the current upload date in the file name. CUE will automatically apply the versioning and add a timestamp to the file name. Furthermore, CUE will disable the file reject due to erroneous records in the file. However, uploads will be rejected due to errors in the naming convention and structure. CUE will keep the pre-validation tool and will provide log-files as usual, which Trading Participants can use to check for errors at the time of the upload. The T7 XML Reports TR160 and TR162 will provide the final validation results and the Reports TR161 and TR163 will provide the valid registrations.
 
The Short Code and Algo ID upload GUI will provide the T7 XML Member Reports TR160-171 for display and download.
 
Related documentation as well as sample upload files will be provided in due course. Please contact your Regulatory KAM via client.services@eurex.com in case of further questions.

Further information