MiFIR Transaction Reporting
- Space Sync for Confluence
The CME Group MiFIR Transaction Reporting service exclusively supports trades on CME Group Listed Derivatives Futures and Options on Futures. BrokerTec and EBS trades are not available on this service.
This topic provides information to support clients subject to MiFID II requirements. CME Group provides the the following reports:
A CSV report for each clearing or executing firm containing the trades for products subject to MiFIR reporting requirements will be available by 12 a.m. Central Time via the CME Groups FTP site or the Enterprise Reporting Portal (EREP), Monday through Friday.
Within EREP the reports will be known as:
Report ID : TR001
Report Name : MiFID Transaction Report
The naming convention for the file is as follows:
Example: MIFID.xxxLEI.20171016.csv
Format: MIFID.{LEI}.{Date}.csv
Date is YYYYMMDD
A CSV report on products covered under the MiFIR requirements. The file can be cross-referenced with the FPRF file, to identify specific instruments.
Contents
Sign Up Process
Firm must be an existing, onboarded CME Group firm to register for MiFIR Transaction reports.
Sign up for the trade report here.
A Global Account Management (GAM) team member will send the Terms and Conditions.
Review the Terms and Conditions form, enter the firm LEI, sign the form and send to GAM.
Register MiFID II eligible accounts in Account Management Service.
Inform GAM of your preference to access files via sFTP or EREP.
A subscription service for MiFID II reporting updates is available at the CME Group Subscription Center.
MiFIR Transaction Reporting File Specifications
Only the following MiFIR Fields will be available in the reports. Client systems must join this information with in-house records to generate the full report.
Please note that the MiFIR Data Service does not take into account any of Client's own circumstances that could affect the required contents of its Transaction Reports. Clients are solely responsible for complying with the Reporting Obligation and must use data provided by the MiFIR Data Service accordingly.
The CME LEI is SNZ2OJLFK8MNNCLQOF39.
Use this guide to map from the CSV to individual fill messages (Note: when reporting the Trading Venue Transaction ID Code, do not include the pipe delimiters within this field on the CSV).
Field 41- Instrument Identification Code - CME Group products do not have an ISIN, and are not required to have one under CFTC rules. MiFID fields 42-56 will instead be provided to help clients identify the traded instruments, with the exception of field 47 – Underlying instrument code since this ISIN is not stored within CME Group systems.
CSV Field Header | MiFIR Field Number Mapping | MiFIR Field Name Mapping | Description | Data Type | Example | Maps to |
|---|---|---|---|---|---|---|
CYC_DT | - | ISO 8601 standard business date when the report was generated. | DATE | 2017-05-16 | - | |
TRDG_FIRM_ID | - | Trading Firm Identifier | VARCHAR(40) | 999_cmegroup | Clearing Confirmation: TrdCaptRpt/RptSide/Pty/@ID (tag 44) Where TrdCaptRpt/RptSide/Pty/@R="7" (tag 452=7) AND TrdCaptRpt/RptSide/Pty/@Src="C" (tag 447=C) | |
TXN_REF_NBR | 2 | Transaction Reference Number | Unique Transaction Reference Number | VARCHAR(52) | 844531565 | Clearing Confirmation: TrdCaptRpt/@RptID (tag 571) |
TRDG_VNU_TXN_ID_CD | 3 | Trading Venue Transaction Identification Code | Trading Venue Transaction Identification Code 52-character alphanumeric field populated with a code generated by the trading venue, disseminated to both buyer and sellers | VARCHAR(52) | 123456 | Clearing Confirmation: TrdCaptRpt/@ExecID (tag 17) CME STP Trade Fill: The values from the following separated by a | character ExecRpt/@TrdDt (tag 75) + ExecRpt/Instrmt/@Desc (tag 107) + The number at the end ExecRpt/@ExecID (tag 17) after the “TN” ignoring any leading zeros |
BUYR_SELR_ID_CD | 7/16 | Buyer Identification Code/Seller Identification Code | Trading Firm LEI. | VARCHAR(50) | SNZ2OJLFK8MNNCLQOF39 | Clearing Confirmation: TrdCaptRpt/RptSide/Pty/@ID (tag 448) Where TrdCaptRpt/RptSide/Pty/@R="7" (tag 452=7) AND TrdCaptRpt/RptSide/Pty/@Src="N” (tag 447=N) |
TRD_DT_TM | 28 | Trade Date Time | ISO 8601 standard trade date and time YYYY-MM-DDThh:mm:ss:ddddddZ | DATETIME | 2017-03-01T13:00:00.000000Z | Clearing Confirmation: TrdCaptRpt/RptSide/TrdRegTS/@TS (tag 1012) Where TrdCaptRpt/RptSide/TrdRegTS/@Typ="1" (tag 1013=1) |
QTY | 30 | Quantity | Quantity traded | NUMBER(18,17) | 20.0 | Clearing Confirmation: TrdCaptRpt/@LastQty (tag 32) CME STP Trade Fill: ExecRpt/@LastQty (tag 32) |
PX | 33 | Price | Price of instrument | NUMBER(18,17) | 65.62 | Clearing Confirmation: TrdCaptRpt/@LastPx (tag 31) CME STP Trade Fill: ExecRpt/@LastPx (tag 31) |
PX_SGN | 33 | Price | Price sign Indicator
| VARCHAR(5) | false | Determined based on whether LastPx (tag 31) is positive or negative. |
PX_CCY | 34 | Price Currency | Price currency | VARCHAR(3) | USD | Clearing Confirmation: TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524) |
VNU | 36 | Venue | Identifies the type of venue where a trade was executed. | VARCHAR(4) | XOFF CME Group MIC codes | Clearing Confirmation: TrdCaptRpt/@VenuTyp (tag 1430) |
UPFT_PMT | 38 | Up-Front Payment | Up-front payment | NUMBER(18,5) | 0 | Clearing Confirmation: TrdCaptRpt/Amt/@Amt (tag 708) Where TrdCaptRpt/Amt/@Typ="CRES" (tag 707=CRES) |
UPFT_PMT_SGN | 38 | Up-Front Payment | Up-front payment sign indicator
| VARCHAR(5) | false | Determined based on whether Amt (tag 708) is positive or negative. |
UPFT_PMT_CCY | 39 | Up-Front Payment Currency | Up-front payment currency | VARCHAR(3) | USD | Clearing Confirmation: TrdCaptRpt/Amt/@Ccy (tag 1055) Where TrdCaptRpt/Amt/@Typ="CRES" (tag707=CRES) |
CPLX_TRD_CPNT_ID | 40 | Complex Trade Component ID | Complex Trade Component ID Unique ID internal to the reporting firm and used to identify all reports relating to the same execution of a combination of financial instruments (e.g. strategy trades). Will only be populated for spread trades. | VARCHAR(35) | 654321 | Clearing Confirmation: TrdCaptRpt/RptSide/@StrategyLinkID (tag 1851) CME STP Fills: ExecRpt/@ExecID (tag 17) |
INST_FULL_NAME | 42 | Instrument Full Name | Full name of instrument | VARCHAR(350) | Natural Gas Options | Clearing Confirmation: TrdCaptRpt/Instrmt/@Desc (tag 107) |
INST_CSFN | 43 | Instrument Classification | Instrument classification using ISO 10962 standard. | VARCHAR(6) | OPAXPS | Clearing Confirmation: TrdCaptRpt/Instrmt/@CFI (tag 461) |
NOTL_CCY_1 | 44 | Notional Currency 1 | Notional currency The currency of the notional amount. In the case of an interest rate derivative Will be null if not a currency. | VARCHAR(3) | USD | Clearing Confirmation: TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524) |
PX_MULT | 46 | Price Multiplier | Price multiplier Number of units of the underlying instrument represented by a single derivative contract. For a future or option on an index, the amount per index point. | NUMBER(18,17) | 10000 | Clearing Confirmation: TrdCaptRpt/Instrmt/@Mult (tag 231) |
UND_IDX_NAME | 48 | Underlying Index Name | Underlying instrument name | VARCHAR(30) | Natural Gas Options | Clearing Confirmation: TrdCaptRpt/Undly/@Desc (tag 307) |
OPT_TYP | 50 | Option Type | Option type | VARCHAR(4) | PUTO - Put option CALL - Call option OTHR - Other option | Clearing Confirmation: TrdCaptRpt/Instrmt/@PutCall (tag 201) |
STRK_PX | 51 | Strike price | NUMBER(18,17) | 5250.0 | Clearing Confirmation: TrdCaptRpt/Instrmt/@StrkPx (tag 202) | |
STRK_PX_SGN | 51 | Strike Price | Strike price sign indicator
| VARCHAR(5) | false | Determined based on whether the value of StrkPx (tag 202) is positive or negative. |
STRK_PX_CCY | 52 | Strike Price Currency | Strike price currency | VARCHAR(3) | USD | Clearing Confirmation: TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524) |
OPT_EXER_STYL | 53 | Option Exercise Style | Option Exercise Style (Americal or European) | VARCHAR(4) | AMER | Clearing Confirmation: TrdCaptRpt/Instrmt/@ExerStyle (tag 1194) |
EXPY_DT | 55 | Expiry Date | ISO 8601 standard expiration date of instrument | DATE | 2018-01-26 | Clearing Confirmation: TrdCaptRpt/Instrmt/@MatDt (tag 541) |
DLV_TYP | 56 | Delivery Type | Delivery Type
| VARCHAR(5) | PHYS | Clearing Confirmation: TrdCaptRpt/Instrmt/@SettlMeth (tag 1193) |
Product File Specifications
CSV Field | Description | Data Type | Example |
|---|---|---|---|
Clearing Code | Clearing Product Code. | VARCHAR(10) | ON |
CME Globex Code | Globex Product Code. | VARCHAR(10) | ON |
CME ClearPort Code | CME ClearPort Product Code. | VARCHAR(10) | ON |
Exchange | Exchange product trades on. | VARCHAR(10) | NYMEX |
Product Name | Name of the product. | VARCHAR(50) | Natural Gas Options |
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.