Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

ANNEX

Table 1

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumerical characters

Free text field.

{CURRENCYCODE_3}

3 alphanumerical characters

3 letter currency code, as defined by ISO 4217 currency codes

{DATE_TIME_FORMAT}

ISO 8601 date and time format

Date and time in the following format:

YYYY-MM-DDThh:mm:ss.ddddddZ.

  • "YYYY" is the year;
  • "MM" is the month;
  • "DD" is the day;
  • "T" — means that the letter "T" shall be used
  • "hh" is the hour;
  • "mm" is the minute;
  • "ss.dddddd" is the second and its fraction of a second;
  • Z is UTC time.

Dates and times shall be reported in UTC.

{DATEFORMAT}

ISO 8601 date format

Dates shall be formatted by the following format:

YYYY-MM-DD.

{DECIMAL-n/m}

Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values.

  • decimal separator is "." (full stop);
  • negative numbers are prefixed with "-" (minus);
  • values are rounded and not truncated.

{INTEGER-n}

Integer number of up to n digits in total

Numerical field for both positive and negative integer values.

{ISIN}

12 alphanumerical characters

ISIN code as defined in ISO 6166

{LEI}

20 alphanumerical characters

Legal entity identifier as defined in ISO 17442

{MIC}

4 alphanumerical characters

Market identifier as defined in ISO 10383

{NATIONAL_ID}

35 alphanumerical characters

The identifier is that set out in Article 6 and Annex II to Commission Delegated Regulation (EU) 2017/590.

Table 2 Details of orders

N.

Field

Content of the order details to be maintained at the disposal of the competent authority

Standards and formats of the order details to be used when providing the relevant order data to competent authority upon request

Section A — Identification of the relevant parties

1

Identification of the entity which submitted the order

The identity of the member or participant of the trading venue. In case of Direct Electronic Access (DEA) the identity shall be the one of the DEA provider.

{LEI}

2

Direct Electronic Access (DEA)

"true" where the order was submitted to the trading venue using DEA as defined in Article 4(1)(41) of Directive 2014/65/EU.

"false" where the order was not submitted to the trading venue using DEA as defined in Article 4(1)(41) of Directive 2014/65/EU.

"true"

"false"

3

Client identification code

Code used to identify the client of the member or participant of the trading venue. In case there is DEA, the code of the DEA user shall be used.

Where the client is a legal entity, the LEI code of the client shall be used.

Where the client is not a legal entity, the {NATIONAL_ID} shall be used.

In case of aggregated orders, the flag AGGR as specified in Article 2(3) of this Regulation.

In case of pending allocations, the flag PNAL as specified in Article 2(2) of this Regulation.

This field shall be left blank only if the member or participant of the trading venue has no client.

{LEI}

{NATIONAL_ID}

"AGGR" — aggregated orders

"PNAL" — pending allocations

4

Investment decision within firm

Code used to identify the person or the algorithm within the member or participant of the trading venue who is responsible for the investment decision in accordance with Article 8 of Delegated Regulation (EU) 2017/590.

Where a natural persons within the member or participant of the trading venue is responsible for the investment decision the person who is responsible or has primary responsibility for the investment decision shall be identified with the {NATIONAL_ID}

Where an algorithm was responsible for the investment decision the field shall be populated as set out in Article 8 of Delegated Regulation (EU) 2017/590.

This field shall be left blank when the investment decision was not made by a person or algorithm within the member or participant of the trading venue.

{NATIONAL_ID} — Natural persons

{ALPHANUM-50} — Algorithms

5

Execution within firm

Code used to identify the person or algorithm within the member or participant of the trading venue who is responsible for the execution of the transaction resulting from the order in accordance with Article 9 of Delegated Regulation (EU) 2017/590. Where a natural person is responsible for the execution of the transaction, the person shall be identified by {NATIONAL_ID}

Where an algorithm is responsible for the execution of the transaction, this field shall be populated in accordance with Article 9 of Delegated Regulation (EU) 2017/590.

Where more than one person or a combination of persons and algorithms are involved in the execution of the transaction, the member or participant or client of the trading venue shall determine the trader or algorithm primarily responsible as specified in Article 9(4) of Delegated Regulation (EU) 2017/590 and populate this field with the identity of that trader or algorithm.

{NATIONAL_ID} — Natural persons

{ALPHANUM-50} — Algorithms

6

Non-executing broker

In accordance with Article 2(d).

This field shall be left blank when not relevant.

{LEI}

Section B — Trading capacity and liquidity provision

7

Trading capacity

Indicates whether the order submission results from the member or, participant of the trading venue is carrying out matched principal trading under Article 4(1)(38) as defined by Directive 2014/65/EU, or dealing on its own account as defined by Article 2(1)(5) of Regulation 600/2014/EU.

Where the order submission does not result from the member or participant of the trading venue carrying out matched principal trading or dealing on its own account, the field shall indicate that the transaction was carried out under any other capacity.

"DEAL" — Dealing on own account

"MTCH" — Matched principal

"AOTC" — Any other capacity

8

Liquidity provision activity

Indicates whether an order is submitted to a trading venue as part of a market-making strategy pursuant to Articles 17 and 48 of Directive 2014/65/EU or UK law corresponding to these provisions, or is submitted as part of another activity in accordance with Article 3 of this Regulation.

"true"

"false"

Section C — Date and time

9

Date and Time

The date and time for each event listed in Section [G] and [K].

{DATE_TIME_FORMAT}

The number of digits after the "seconds" shall be determined in accordance with Article 2 of the Commission Delegated Regulation (EU) 2017/574.

Section D — Validity period and order restrictions

10

Validity period

Good-For-Day: the order expires at the end of the trading day on which it was entered in the order book.

"DAVY" — Good-For-Day

Good-Till-Cancelled: the order will remain active in the order book and be executable until it is actually cancelled.

"GTCV" — Good-Till-Cancelled

Good-Till-Time: the order expires at the latest at a pre-determined time within the current trading session.

"GTTV" — Good-Till-Time

Good-Till-Date: the order expires at the end of a specified date.

"GTDV" — Good-Till-Date

Good-Till-Specified Date and Time: the order expires at a specified date and time.

"GTSV" — Good-Till-Specified Date and Time

Good After Time: the order is only active after a pre-determined time within the current trading session.

"GATV" — Good After Time

Good After Date: the order is only active from the beginning of a pre-determined date.

"GADV" — Good After Date

Good After Specified Date and Time: the order is only active from a pre-determined time on a pre-determined date.

"GASV" — Good After Specified Date and Time

Immediate-Or-Cancel: an order which is executed upon its entering into the order book (for the quantity that can be executed) and which does not remain in the order book for the remaining quantity (if any) that has not been executed.

"IOCV" — Immediate-Or-Cancel

Fill-Or-Kill: an order which is executed upon its entering into the order book provided that it can be fully filled: in the event the order can only be partially executed, then it is automatically rejected and cannot therefore be executed.

"FOKV" — Fill-Or-Kill

or

{ALPHANUM-4} characters not already in use for the trading venue's own classification.

Other: any additional indications that are unique for specific business models, trading platforms or systems.

11

Order restriction

Good For Closing Price Crossing Session: where an order qualifies for the closing price crossing session.

"SESR" — Good For Closing Price Crossing Session

Valid For Auction: the order is only active and can only be executed at auction phases (which can be pre-defined by the member or, participant of the trading venue who submitted the order, e.g. opening and/closing auctions and/or intraday auction).

"VFAR" — Valid For Auction

Valid For Continuous Trading only: the order is only active during continuous trading.

"VFCR" — Valid For Continuous Trading only

Other: any additional indications that are unique for specific business models, trading platforms or systems.

{ALPHANUM-4} characters not already in use for the trading venue's own classification.

This field shall be populated with multiple flags separated by a comma where there are multiple types applicable.

12

Validity period and time

This refers to the time stamp reflecting the time on which the order becomes active or it is ultimately removed from the order book

Good for day: the date of entry with the timestamp immediately prior to midnight

Good till tim: the date of entry and the time to that specified in the order

Good till date: will be the specified date of expiry with the timestamp immediately prior to midnight

Good till specified date and time: the specified date and time of expiry

Good after time: the date of entry and the specified time at which the order becomes active

Good after date: the specified date with the timestamp immediately after midnight

Good after specified date and time: the specified date and time at which the order becomes active

Good till Cancel: the ultimate date and time the order is automatically removed by market operations

Other: timestamp for any additional validity type.

{DATE_TIME_FORMAT}

The number of digits after the "seconds" is determined in accordance with Article 2 of Delegated Regulation (EU) 2017/574.

Section E — Priority and sequence number

13

Priority time stamp

This field shall be updated every time the priority of an order changes.

{DATE_TIME_FORMAT}

The number of digits after the "seconds" is determined in accordance with Article 2 of Delegated Regulation (EU) 2017/574.

14

Priority size

For trading venues which use size-time priority, this field shall be populated with a positive number corresponding to the quantity.

This field shall be updated every time the priority of the order changes.

Up to 20 numeric positive digits.

15

Sequence number

Each and every event listed in section G shall be identified using positive integers in ascending order.

The sequence number shall be unique to each type of event; consistent across all events, timestamped by the operator of the trading venue; be persistent for the date that the event occurs.

{INTEGER-50}

Section F — Identification of the order

16

Segment MIC code

Identification of the trading venue where the order was submitted.

If the trading venue uses segment MICs then the segment MIC shall be used.

If the trading venue does not use segment MICs then the operating MIC shall be used

{MIC}

17

Order book code

The alphanumerical code established by the trading venue for each and every order book.

{ALPHANUM-20}

18

Financial instrument identification code

Unique and unambiguous identifier of the financial instrument

{ISIN}

19

Date of receipt

Date of receipt of the original order.

{DATEFORMAT}

20

Order identification code

An alphanumerical code assigned by the operator of the trading venue to the individual order.

{ALPHANUM-50}

Section G — Events affecting the order

21

New order, order modification, order cancellation, order rejections, partial or full execution

New order: receipt of a new order by the operator of the trading venue.

"NEWO" — New order

Triggered: an order which becomes executable or, as the case may be, non-executable upon the realisation of a pre-determined condition.

"TRIG" — Triggered

Replaced by the member or participant of the trading venue: where a member, participant or client of the trading venue decides upon its own initiative to change any characteristic of the order it has previously entered into the order book.

"REME" — Replaced by the member or participant of the trading venue

Replaced by market operations (automatic): where any characteristic of an order is changed by the trading venue operator's IT systems. This includes where a peg order's or a trailing stop order's current characteristics are changed to reflect how the order is located within the order book.

"REMA" — Replaced by market operations (automatic)

Replaced by market operations (human intervention): where any characteristic of an order is changed by a trading venue operator's staff. This includes the situation where a member, participant of the trading venue has IT issues and needs its orders to be cancelled urgently.

"REMH" — Replaced by market operations (human intervention)

Change of status at the initiative of the member, participant of the trading venue. This includes activation and deactivation.

"CHME" — Change of status at the initiative of the member/participant of the trading venue

Change of status due to market operations.

"CHMO" — Change of status due to market operations

Cancelled at the initiative of the member, participant of the trading venue; where a member, participant or client decides upon its own initiative to cancel the order it has previously entered.

"CAME" — Cancelled at the initiative of the member or participant of the trading venue

Cancelled by market operations. This includes a protection mechanism provided for investment firms carrying out a market-making activity as laid down in Articles 17 and 48 of Directive 2014/65/EU

"CAMO" -Cancelled by market operations

Rejected order: an order received but rejected by the operator of the trading venue.

"REMO" — Rejected order

Expired order: where the order is removed from the order book upon the end of its validity period.

"EXPI" — Expired order

Partially filled: where the order is not fully executed so that there remains a quantity to be executed.

"PARF" — Partially filled

Filled: where there is no more quantity to be executed.

"FILL" — Filled

{ALPHANUM-4} characters not already in use for the trading venue's own classification.

Section H — Type of order

22

Order type

Identifies the type of order submitted to the trading venue as per the trading venue specifications.

{ALPHANUM-50}

23

Order type classification

Classification of the order according to two generic order types. LIMIT order: in the cases where the order is tradable

and

STOP order: in the cases where the order becomes tradable only upon the realisation of a pre-determined price event.

The letters "LMTO" for limit or the letters "STOP" for stop.

Section I — Prices

24

Limit price

The maximum price at which a buy order can trade or the minimum price at which a sell order can trade.

The spread price for a strategy order. It can be negative or positive.

This field shall be left blank in case of orders that do not have a limit price or in case of unpriced orders.

In case of a convertible bond, the real price (clean or dirty) used for the order shall be reflected in this field.

{DECIMAL-18/13} in case the price is expressed as monetary value.

Where price is reported in monetary terms, it shall be provided in the major currency unit.

{DECIMAL-11/10} in case the price is expressed as a percentage or yield.

{DECIMAL-18/17} in case the price is expressed as basis points

25

Additional limit Price

Any other limit price which may apply to the order. This field shall be left blank if not relevant.

{DECIMAL-18/13} where the price is expressed as a monetary value.

Where the price is reported in monetary terms, it shall be provided in the major currency unit.

{DECIMAL-11/10 where the price is expressed as a percentage or yield.

{DECIMAL-18/17} in case the price is expressed as basis points

26

Stop price

The price that must be reached for the order to become active.

For stop orders triggered by events independent of the price of the financial instrument, this field shall be populated with a stop price equal to zero.

This field shall be left blank if not relevant.

{DECIMAL-18/13 where the price is expressed as a monetary value.

Where the price is reported in monetary terms, it shall be provided in the major currency unit.

{DECIMAL-11/10} in case the price is expressed as a percentage or yield.

{DECIMAL-18/17} in case the price is expressed as basis points.

27

Pegged limit price

The maximum price at which a pegged order to buy can trade or the minimum price at which a pegged order to sell can trade.

This field shall be left blank if not relevant.

{DECIMAL-18/13} where the price is expressed as a monetary value.

Where the price is reported in monetary terms, it shall be provided in the major currency unit.

{DECIMAL-11/10} in case the price is expressed as a percentage or yield.

{DECIMAL-18/17} in case the price is expressed as basis points

28

Transaction price

Traded price of the transaction excluding, where applicable, commission and accrued interest.

In the case of option contracts, it shall be the premium of the derivative contract per underlying or index point.

In the case of spread bets it shall be the reference price of the direct underlying instrument.

For credit default swaps (CDS) it shall be the coupon in basis points.

Where price reported in monetary terms, it shall be provided in the major currency unit.

Where price is not applicable the field shall be populated with the value "NOAP".

{DECIMAL-18/13 in case the price is expressed as monetary.

{DECIMAL-11/10} in case the price is expressed as percentage or yield

{DECIMAL-18/17} in case the price is expressed as basis points

"NOAP"

29

Price currency

Currency in which the trading price for the financial instrument related to the order is expressed (applicable where the price is expressed as monetary value).

{CURRENCYCODE_3}

30

Currency of leg 2

Where there are multi-currency or cross-currency swaps, the currency of leg 2 shall be the currency in which leg 2 of the contract is denominated.

For swaptions where the underlying swap is multi-currency, the currency of leg 2 shall be the currency in which leg 2 of the swap is denominated.

This field only needs to be filled in where there are interest rates and currency derivatives contracts.

{CURRENCYCODE_3}

31

Price notation

Indicates whether the price is expressed in monetary value, in percentage, in yield or in basis points.

"MONE" — Monetary value

"PERC" — Percentage

"YIEL" — Yield

"BAPO" — Basis points

Section J — Order instructions

32

Buy-sell indicator

To show if the order is to buy or sell.

In case of options and swaptions, the buyer shall be the counterparty that holds the right to exercise the option and the seller shall be the counterparty that sells the option and receives a premium.

In case of futures and forwards other than futures and forwards relating to currencies, the buyer shall be the counterparty buying the instrument and the seller the counterparty selling the instrument.

In the case of swaps relating to securities, the buyer shall be the counterparty that gets the risk of price movement of the underlying security and receives the security amount. The seller shall be the counterparty paying the security amount.

In the case of swaps related to interest rates or inflation indices, the buyer shall be the counterparty paying the fixed rate. The seller shall be the counterparty receiving the fixed rate. In case of basis swaps (float-to-float interest rate swaps), the buyer shall be the counterparty that pays the spread and the seller the counterparty that receives the spread.

In the case of swaps and forwards related to currencies and of cross currency swaps, the buyer shall be the counterparty receiving the currency which is first when sorted alphabetically by ISO 4217 standard and the seller shall be the counterparty delivering this currency.

In the case of swaps related to dividends, the buyer shall be the counterparty receiving the equivalent actual dividend payments. The seller is the counterparty paying the dividend and receiving the fixed rate.

In the case of derivative instruments for the transfer of credit risk except options and swaptions, the buyer shall be the counterparty buying the protection. The seller is the counterparty selling the protection.

In case of derivative contracts related to commodities or emission allowances, the buyer shall be the counterparty that receives the commodity or emission allowance specified in the report and the seller the counterparty delivering this commodity or emission allowance.

In case of forward rate agreements, the buyer shall be the counterparty paying the fixed rate and the seller the counterparty receiving the fixed rate.

For an increase in notional the buyer shall be the same as the acquirer of the financial instrument in the original transaction and the seller shall be the same as the disposer of the financial instrument in the original transaction.

For a decrease in notional the buyer shall be the same as the disposer of the financial instrument in the original transaction and the seller shall be the same as the acquirer of the financial instrument in the original transaction.

"BUYI" — buy

"SELL" — sell

33

Order status

To identify orders that are active/inactive/suspended, firm/indicative (assigned to quotes only)/implicit/rerouted.

Active — non-quote orders that are tradable.

Inactive — non-quote orders that are not tradable.

Firm/Indicative — Assigned to quotes only. Indicative quotes mean that they are visible but cannot be executed. This includes warrants in some trading venue. Firm quotes can be executed.

Implicit — Used for strategy orders that are derived from implied in or implied out functionality.

Routed — Used for orders that are routed by the trading venue to other venues.

"ACTI"- active

or

"INAC"- inactive

or

"FIRM"- firm quotes

or

"INDI"- indicative quotes

or

"IMPL"- implied strategy orders

or

"ROUT"- routed orders.

If multiple statuses are applicable, this field shall be populated with multiple flags separated by comma.

34

Quantity notation

Indicates whether the quantity reported is expressed in number of units, as a nominal value or as a monetary value.

"UNIT" — Number of units

"NOML" — Nominal value

"MONE" — Monetary value

35

Quantity currency

Currency in which the quantity is expressed.

Field only needs to be populated where the quantity is expressed as a nominal or monetary value.

{CURRENCYCODE_3}

36

Initial quantity

The number of units of the financial instrument, or the number of derivative contracts in the order.

The nominal or monetary value of the financial instrument.

For spread bets, the quantity shall be the monetary value wagered per point movement in the underlying financial instrument.

For an increase or decrease in notional derivative contracts, the number shall reflect the absolute value of the change and shall be expressed as a positive number.

For credit default swaps, the quantity shall be the notional amount for which the protection is acquired or disposed of.

{DECIMAL-18/17} in case the quantity is expressed as number of units

{DECIMAL-18/5} in case the quantity is expressed as monetary or nominal value

37

Remaining quantity including hidden

The total quantity that remains in the order book after a partial execution or in the case of any other event affecting the order.

On a partial fill order event, this shall be the total remaining volume after that partial execution. On an order entry this shall equal the initial quantity.

{DECIMAL-18/17} in case the quantity is expressed as a number of units

{DECIMAL-18/5} where the quantity is expressed as monetary or nominal value

38

Displayed quantity

The quantity that is visible (as opposed to hidden) in the order book.

{DECIMAL-18/17} where the quantity is expressed as a number of units

{DECIMAL-18/5} where the quantity is expressed as a monetary or nominal value

39

Traded quantity

Where there is a partial or full execution, this field shall be populated with the executed quantity.

{DECIMAL-18/17} where the quantity is expressed as a number of units

{DECIMAL-18/5} where the quantity is expressed as a monetary or nominal value

40

Minimum Acceptable Quantity (MAQ)

The minimum acceptable quantity for an order to be filled which can consist of multiple partial executions and is normally only for non-persistent order types.

This field shall be left blank if not relevant.

{DECIMAL-18/17where the quantity is expressed as a number of units

{DECIMAL-18/5} where the quantity is expressed as a monetary or nominal value

41

Minimum executable size (MES)

The minimum execution size of any individual potential execution.

This field shall be left blank if not relevant.

{DECIMAL-18/17} where the quantity is expressed as a number of units

{DECIMAL-18/5} where the quantity is expressed as a monetary or nominal value

42

MES first execution only

Specifies whether the MES is relevant only for the first execution.

This field can be left blank where field 41 is left blank.

"true"

"false"

43

Passive only indicator

Indicates if the order is submitted to the trading venue with a characteristic/flag, such that the order shall not immediately execute against any contra visible orders.

"true"

"false"

44

Passive or aggressive indicator

On partial fill and fill order events, indicates whether the order was already resting on the order book and providing liquidity (passive) or the order initiated the trade and thus took liquidity (aggressive).

This field shall be left blank if not relevant.

"PASV" — passive or

"AGRE" — aggressive.

45

Self-Execution Prevention

Indicates if the order has been entered with self-execution prevention criteria, so that it would not execute with an order on the opposite side of the book entered by the same member or participant.

"true"

"false"

46

Strategy Linked Order identification

The alphanumerical code used to link all connected orders that are part of a strategy pursuant to Article 7(2).

{ALPHANUM-50}

47

Routing Strategy

The applicable routing strategy as per the trading venue specification.

This field shall be left blank if not relevant.

{ALPHANUM-50}

48

Trading venue transaction identification code

Alphanumerical code assigned by the trading venue to the transaction pursuant to Article 12 of this Regulation.

The trading venue transaction identification code shall be unique, consistent and persistent per ISO10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the trading venue transaction identification code shall be unique, consistent and persistent per operating MIC per trading day.

The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained.

{ALPHANUM-52}

Section K — Trading phases, indicative auction price and volume

49

Trading phases

The name of each of the different trading phases during which an order is present in the order book including trading halts, circuit breakers and suspensions.

{ALPHANUM-50}

50

Indicative auction price

The price at which each auction is due to uncross in respect to the financial instrument for which one or more orders have been placed.

{DECIMAL-18/5} in case the price is expressed as monetary or nominal value.

Where price reported in monetary terms, it shall be provided in the major currency unit.

DECIMAL-11/10} in case the price is expressed as a percentage or yield.

51

Indicative auction volume

The volume (number of units of the financial instrument) that can be executed at the indicative auction price in field 50 if the auction ended at that precise moment of time.

{DECIMAL-18/17} in case the quantity is expressed as number of units

{DECIMAL-18/5} in case the quantity is expressed as monetary or nominal value