Sincronizacion en MiFID II

En este post vamos a recopilar la información oficial, relativa a la sincronizacion en MiFID II, publicada por ESMA (European Securities and Markets Authority) https://www.esma.europa.eu/.  Se incluyen los enlaces a los documentos oficiales.

En Meinberg hemos publicado un primer post con las FAQ relativas a la sincronización en MiFID II, el cual se  puede consultar en este enlace, que ha sido editado por el CEO de Meinberg Heiko Gerstung.

Meinberg lleva años colaborando y trabajando con los interlocutores de los mercados financieros en diferentes proyectos, incluido el de la implantación de los sistemas de sincronización para cumplir con MiFID II. Para cualquier pregunta no dude en consultar con nosotros en nuestra área de contacto -por email o por teléfono-, que, como agente exclusivo de Meinberg para España y Portugal, le responderemos y asesoraremos.

Publicaciones ESMA relativa a sincronizacion en MiFID II

Fuente: Final Report Draft Regulatory and Implementing Technical Standards MiFID II/MiFIR

• Fecha de publicación: 28/09/2015
• ESMA/2015/1464
• 7.4 Clock synchronization  (art. 50)
  • Reference time:
    • The RTS has amended the definition to also include UTC disseminated via a satellite system which for example, would include the use of a GPS receiver or the use of the Galileo satellite system when it is launched (provided the offset from UTC is removed, currently 16 ‘leap’ seconds as of April 2015).
  • Level of accuracy
    • Some of these technology issues were around the use of Network Time Protocol (NTP) not being able to achieve accuracy of more than a millisecond  resulting in a change to other methods, most likely to be Precision Time Protocol (PTP). It was also pointed out that certain common operating systems do not support precision timing and that this would require changes to alternative operating systems
  • Documenting compliance
  • Venues will have to be able to provide documentation explaining their system design and the specifications to show the accuracy will be maintained to within the required parameters

Fuente: Regulatory technical and implementing standards – AnnexI

• Fecha de publicaciónb: 28/09/2015
• ESMA/2015/1464 – RTS 25
• Whereas
  • “Clock synchronization has a direct impact in many areas. In particular it contributes to (1)ensuring that post-trade transparency data can readily be part of a reliable consolidated tape. It is also essential for conducting cross-venue monitoring of orders and detecting instances of market abuse and allows for a clearer comparison between the transaction and the market conditions prevailing at the time of their execution”
  • Competent authorities need to understand how trading venues and their members or (5)participants are ensuring their traceability to Coordinated Universal Time (UTC). This is because of the complexity of the different systems and the number of alternative methods that can be used to synchronize to UTC. Given that clock drift can be affected by many different elements, it is also appropriate to determine an acceptance level for the maximum divergence from UTC
  • In order to apply scalable technical solutions ensuring that transactions in cleared (2)derivatives can be submitted and accepted for clearing as quickly as technologically practicable, the information needed by a trading venue and a CCP to perform their tasks should be pre-determined and clearly set in the documentation of the trading venue and the CCP
• Article 1 – Reference time
  • Operators of trading venues and their members or participants shall synchronize the business clocks they use to record the date and time of any reportable event with the Coordinated Universal Time (UTC) issued and maintained by the timing centers listed in the latest Bureau International des Poids et Mesures Annual Report on Time Activities. Operators of trading venues and their members or participants may also synchronize the business clocks they use to record the date and time of any reportable event with UTC disseminated by a satellite system, provided that any offset from UTC is accounted for and removed from the timestamp.
• Article 1 – Level of accuracy: Level of accuracy for members or participants of a trading venue
  •  Operators of trading venues shall ensure that their business clocks adhere to the levels of accuracy specified in Table 1 of the Annex according to the gateway to gateway latency of each of their trading systems
• Article 3 – Level of accuracy
  •  Members or participants of trading venues shall ensure that their business clocks used to record the time of reportable events adhere to the level of accuracy specified in Table 2 of the Annex.
• Article 4 – Compliance with the maximum divergence requirements
  • Operators of trading venues and their members or participants shall establish a system of traceability to UTC. They shall be able to demonstrate traceability to UTC by documenting the system design, functioning and specifications. They shall be able to identify the exact point at which a timestamp is applied and demonstrate that the point within the system where the timestamp is applied remains consistent. Reviews of the compliance with this Regulation of the traceability system shall be conducted at least once a year

Fuente: Guidelines on transaction reporting, reference data, order record keeping & clock synchronization

• Fecha de publicación: 23/12/2015
• ESMA/2015/1909
• 3. Clock Synchronization
  • Background
    • Article 50 of MiFID II applies to trading venues and their members and participants and requires them to comply with accuracy requirements regarding the maximum divergence of their business clocks from UTC and to timestamp reportable events to a specific granularity. Article 50 of MiFID II applies to a broad range of reportable events [section 3.1]. Two types of examples have been provided below to demonstrate how to timestamp order data and transaction reports.
    • It should be noted that Article 50 of MiFID II only applies to reportable events that take place on a trading venue. For example, it does not apply to OTC transactions.
    • A member or participant of a trading venue is not required to follow the same time-stamping requirements that apply to the trading venue of which they are a member or participant. The member or participant shall only time-stamp according to the requirements that apply to their firm under Article 50 of MiFID II
  • Article 26 – Transaction reporting.
    • According to the ESMA guidelines, transaction reporting under Article 26 of MiFIR is considered to be a reportable event [section 3.1]. It shall also be noted that there are specific rules regard the population of the ‘trading date and time’ field under Article 26 of MiFIR for transaction reports (see Field 28 of RTS 2/3).
    • (a) Transactions executed on a trading venue
      • Where an investment firm is a member or participant of a trading venue then it shall report the trading date and time field in a transaction report using the level of granularity specified in [RTS 25] for transactions executed on a trading venue. This is set out in the section 1.1.4 on “Execution of a transaction on a trading venue in Part I of the guidelines for Article 26 of MiFIR.
      • ‘Executed on a trading venue’ for these purposes means market side executions and includes where a transaction has been brought under the rules of the exchange.
    • (b) Transactions not executed on a trading venue
      • All investment firms (regardless of whether they are a member or participant of a trading venue) shall time-stamp their transaction reports to second granularity or better in accordance with Field 28 of Table 2 of RTS 22 for transactions not executed on a trading venue. This also applies to transactions executed on an organized trading platform outside of the Union.

Enlaces de interés

• ESMA (European Securities and Markets Authority) https://www.esma.europa.eu/
• MiFID II: FAQ La relevancia de la sincronización (RTS25)
• The FCA (Financial Conduct Authority – UK), Tiene un sitio web dedicado a MiFID II https://www.the-fca.org.uk/focus-areas/mifid-ii